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Author:Mihail Turlakov
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# CVA regulation ## BIS - 2020 https://www.bis.org/bcbs/publ/d488.pdf - 2015 https://www.bis.org/bcbs/publ/d325.pdf ## reviews - [The Effects of FRTB in the CVA Risk Framework](https://www.iasonltd.com/doc/rps/2018/2018_The%20Effect%20of%20the%20FRTB%20in%20the%20CVA%20Risk%20Framework_.pdf) 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/ ⏎ https://www.gridgain.com/resources/papers/frtb-and-xva-addressing-real-time-regulatory-and-business-needs-in-memory ⏎ # Parents * XVA (valuation adjustments for derivatives)
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