CVA regulation
BIS
- 2020
https://www.bis.org/bcbs/publ/d488.pdf
reviews
Another important point that distinguish the SA-CVA proposal to the FRTB-SBM is the fact that
banks need to meet three main eligibility criteria in order to be authorised to apply it, even if it is a
standardised method:
1. The ability to calculate CVA sensitivities;
2. A robust methodology to approximate the credit spread for illiquid counterparties 2;
3. The existence of a dedicated CVA risk management function
vendors
https://www.xcelerit.com/resources/financial-regulation-and-impact-on-computational-complexity/