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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 |
$$DS_{BA-CVA} \cdot K_{full}; \mbox{ where the discount scalar } DS_{BA-CVA}=0.65$$ |