Geurdes, Han / J. F. (2011): On the mathematical form of CVA in Basel III.
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Credit valuation adjustment in Basel III is studied from the perspective of the mathematics involved. A bank covers mark-to-market losses for expected counterparty risk with a CVA capital charge. The CVA is known as credit valuation adjustments. In this paper it will be argued that CVA and conditioned value at risk (CVaR) have a common mathematical ancestor. The question is raised why the Basel committee, from the perspective of CVaR, has selected a specific parameterization. It is argued that a fine-tuned supervision, on the longer run, will be beneficial for counterparties with a better control over their spread.
|Item Type:||MPRA Paper|
|Commentary on:||Eprints 0 not found.|
|Original Title:||On the mathematical form of CVA in Basel III.|
|Keywords:||CVA, CVaR, statistical methodology.|
|Subjects:||C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods
A - General Economics and Teaching > A1 - General Economics > A14 - Sociology of Economics
C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics
|Depositing User:||Han / J. F. Geurdes|
|Date Deposited:||18. May 2011 12:59|
|Last Modified:||24. Mar 2015 05:31|
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- Geurdes, Han / J. F. On the mathematical form of CVA in Basel III. (deposited 18. May 2011 12:59) [Currently Displayed]