CVA under Basel III
1.what is different between Regulatory CVA and CVA under accounting and pricing?
I found some literatures that define CVA under accounting as, capital that cover expected losses due to CVA volatility while some say, is the cost of credit risk? which is which?
2. The CVA under Basel III, is being replaced by FRTB-CVA or being complemented?
1.what is different between Regulatory CVA and CVA under accounting and pricing?
I found some literatures that define CVA under accounting as, capital that cover expected losses due to CVA volatility while some say, is the cost of credit risk? which is which?
2. The CVA under Basel III, is being replaced by FRTB-CVA or being complemented?