Basel 3 and Cva: the counterparty risk management and valuation

Walter Vecchiato and Eugenio Virguti
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Walter Vecchiato: Gruppo Veneto Banca
Eugenio Virguti: Università del Sannio

BANCARIA, 2013, vol. 05, 49-57

Abstract: Basel 3 has incorporated valuation adjustment in calculations of regulatory capital for counterparty credit risk, introducing an important element for the pricing and risk management of derivatives portfolios. The use of an advanced or standardized Cva risk capital charge method depends on whether banks have existing regulatory approvals for both Imm and specific risk VaR model

JEL-codes: G21 G28 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:ban:bancar:v:5:y:2013:m:may:p:49-57

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