Basel library
Targeted revisions to the credit valuation adjustment risk framework
Recalibrates the capital charge for CVA risk, the risk of loss from changes in counterparties' credit spreads on derivatives, under its basic and standardised approaches, and aligns it with the revised market risk framework.
Note Now part of the consolidated Basel Framework (CVA).
Learn it in the Academy
Lessons that explain or cite this document.
- L4.3.01The trading book boundary
- L4.3.02The sensitivities-based method: delta and vega
- L4.3.03The curvature charge
- L4.3.04Default risk charge and residual risk add-on
- L4.3.05Internal models: expected shortfall
- L4.3.06Non-modellable risk factors and the internal DRC
- L4.3.07Backtesting and the P&L attribution test
- L4.3.08Total market risk capital
- L4.3.09CVA capital: the basic approach
- L4.3.10CVA capital: the standardised approach
- L4.3.11Market risk and CVA capital: what changes from 2027
Descriptions are written by RiskAtoms and are not official texts or legal advice. Each document is published by its issuer: follow the link to read or download it.