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DescriptionCVA capital requirement that counterparty c would receive if considered on a stand- alone basis.
Reference[MAR50.15]
Notation∑cSCVAc\sum_{c} SCVA_c
Formula∑cSCVAc=∑c∑NS(1α⋅RWc⋅MNS⋅EADNS⋅DFNS)\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)

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See also