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DS x K_reduced
Description |
The capital requirements for CVA risk under the reduced version of the BA-CVA |
Reference |
[MAR50.14] |
Notation |
$DS_{BA-CVA} \cdot K_{reduced}$ |
Formula |
$$DS_{BA-CVA} \cdot K_{reduced}; \mbox{ where the discount scalar } DS_{BA-CVA}=0.65$$ |