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Documentation Index

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DescriptionStandalone CVA capital net of singe name hedge parameter
Reference[MAR50.22]
Notation∑c(SCVAc−SNHc)\sum_{c} (SCVA_c - SNH_c)
Formula∑c(SCVAc−SNHc)\sum_{c} (SCVA_c - SNH_c)
The measure requires having hierarchy [Risk].[CVACounterpartyId] in the view.