Targeted revisions to the credit valuation adjustment risk framework.
The credit valuation adjustment (CVA) risk framework replaces an earlier version of the standard as published in December 2017.
This final standard incorporates changes proposed in the November 2019 consultative document and has been informed by a quantitative impact assessment based on data as of end-June 2019. Compared to the earlier standard, the revisions include recalibrated risk weights, a different treatment for certain client cleared derivatives, and an overall recalibration of the standardised approach CVA as well as the basic approach CVA.
The revised standard comes into effect on 1 January 2023.
- Publication Date: July 2020
- Publication Type: Standards
- Publication Status: Consolidated
- Publication Category: Market Risk
- Number of Pages: 31
- Keywords: Market Risk
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