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SCVA
Description |
CVA capital requirement that counterparty c would receive if considered on a stand- alone basis. |
Reference |
[MAR50.15] |
Notation |
$\sum_{c} SCVA_c$ |
Formula |
$$\sum_{c} SCVA_c = \sum_{c} \sum_{NS} \left(\dfrac{1}{\alpha} \cdot RW_c \cdot M_{NS} \cdot EAD_{NS} \cdot DF_{NS} \right) $$ |
See also