Venez découvrir notre publication de Novembre 2021 :

The SA-CVA Business Case

Choosing the right approach

Autor: Alexis BUNEL
      Director – Traded Risks SME
      +33 (0)7 66 89 11 57


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.




Pour lire la suite, veuillez télécharger l’article au format pdf (6 pages).

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