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DescriptionInterim measure for the capital requirement for CVA risk under the reduced version of the BA-CVA
Reference[MAR50.14]
NotationKreducedK_{reduced}
FormulaKreduced=(ρ⋅∑cSCVAc)2+(1−ρ2)⋅∑cSCVAc2K_{reduced}= \sqrt{\left( \rho \cdot \sum_{c} SCVA_c \right)^2 + (1-\rho^2)\cdot \sum_c SCVA_c^2}

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See also