Navigation :
DS x K_full
| Description |
Capital requirements for CVA risk under the reduced version of the BA-CVA |
| Reference |
[MAR50.20] |
| Notation |
$DS_{BA-CVA} \cdot K_{full}$ |
| Formula |
$$DS_{BA-CVA} \cdot K_{full}; \mbox{ where the discount scalar } DS_{BA-CVA}=0.65$$ |