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DescriptionCapital requirements for CVA risk under the reduced version of the BA-CVA
Reference[MAR50.20]
NotationDSBA−CVA⋅KfullDS_{BA-CVA} \cdot K_{full}
FormulaDSBA−CVA⋅Kfull;\mboxwherethediscountscalarDSBA−CVA=0.65DS_{BA-CVA} \cdot K_{full}; \mbox{ where the discount scalar } DS_{BA-CVA}=0.65