7月1日BCBS发布了巴塞尔协议三框架下新一轮CVA资本的实施方案。其核心是将CVA资本的计算纳入与FRTB market risk capital charge兼容的框架,具体来说,新的CVA资本计算规则主要包括以下要点: 1. 新的框架下包括两组实施方案,包括比较简单的Basic CVA和相对复杂的FRTB-CVA方案。前者适用于没有大规模从事OTC衍生品交易的...
一般来讲,银行里有两个信用敞口模型,一个是用于前台CVA定价和会计CVA计算的信用敞口模型,第二个是风险使用的IMM敞口模型。巴塞尔将使用会计CVA信用敞口模型作为输入参数的方法称之为Accounting-based CVA,将使用风险敞口模型作为输入参数的方法称为IMM-based CVA. 【我的看法】我认为IMM-based CVA可能是一种更好的做...
Handbook of Regulatory Modeling - for FRTB and FRTB-CVAAlexander Sokol
FRTB – Basic Approach for CVA Chris BarnesonFRTB|July 5, 2018No comments Introduction A core component of managing bilateral exposures is CVA – Credit Valuation Adjustment. The grandfather of all XVAs, it describes the change in exposure we have to a counterparty as a result of changes in ...
We are, however, disappointed in the Commission’s conclusion not to address the credit valuations adjustment framework (CVA) and the profit and loss attribution test (PLAT). In our view, given the interdependence of the various regulatory frameworks, an aligned timeframe of implementation and tran...
Counterparty Credit Risk and CVA - Documentation Interactive Report Program Builder - Documentation MATLAB Production Server - Documentation ISDA FRTB-SA Workflows - Documentation FRTB Resources The Fundamental Review of the Trading Book (FRTB): An Introductory Guide Basel IV & CRR II: Revised St...
FRTB” is part of the Murex Risk and Regulatory Suite, a comprehensive framework that enables financial institutions to build an overall strategy for regulatory and internal risk management, leveraging synergies in calculation engines, data and technology. The suite also includes solutions for CVA Capit...
Basel III 进一步加入了对OTC衍生品的CVA风险的资本要求。这是因为在08年金融危机中OTC衍生品的损失2/3来自于CVA,而非直接的对手违约损失(Counterparty default loss). CVA风险的主要几个参数是 Exposure,LGD, Spread , Maturity等与其他市场风险指标类似,计算也一般采取与VaR类似的方法。
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The Handbook of XVA and Counterparty Risk: for FRTB and FRTB-CVAAlexander Sokol