Assessing Financial Benefits
The new capital charge framework for CVA risk, also called FRTB CVA (“Fundamental Review of the Trading Book), allows banks
to apply for the Standardised Approach instead of relying on the default Basic Approach. By doing so, banks hope to lower
their capital requirements while strengthening their economic risk management framework at the expense of a potentially
significant initial investment. This paper aims to help undecided institutions in choosing the right approach for their profile.
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