Industry models not sufficiently developed to calculate CVA charge, says Basel Committee
The Basel Committee on Banking Supervision has confirmed it will not allow banks to use their own internal models to calculate a capital charge for credit value adjustment (CVA), following a review of the capital treatment for counterparty credit risk under Basel III.
Much of the methodology remains unchanged from that published last December. One area of controversy had been the treatment of market risk. The advanced CVA risk capital charge requires sophisticated banks to model the impact of
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