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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?
annaleevance2000
Hello David,
I would like to thank you for this platform:) I am 19 years old, and in my 2nd year in college. I took financial accounting and corporate finance, and am a math major (I have done calc 3). Is it common for students like me to take the FRM? Cause I love this stuff (I spend upwards of 8 hours daily working through the material) but I'm so, so overwhelmed.... I plan to take the Oct/Nov exams. Any advice?
F
Hi @Nicole Seaman, hope everything is ok. With you and your family. I just wanna ask whether there will be an instuctional video and learning spreadsheet for P1.T4 credit risk and capital allocation. As there are some quantitative concepts that I did not understand reading from GARP books.
V
Hey guys, is anyone having problems with the note's formulas? The numbers are over each other, which makes it impossible for me to understand them. I even tried copying them and paste them on another files, but some are only mathematical signs and it takes to long. Please let me know where I could open them or in what type of file.

Best regards,
Vicente
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mbbx5va2
Agree. Wondering if there's a list with the formulae appearing correctly.
O
Hello. Hope you and your family stay healthy. Kindly provide me answer posted below

Assume that a 2 year corporate bond pays a coupon of 6 % per annum semi annually and has a yield of 8%. The yield for all maturities on risk free bonds is 4% per annum (expressed with continuous compounding). Assume that defaults can take place every year (immediately before coupon payment) and the recovery rate is 50%.
Nicole Seaman
Nicole Seaman
Hello @owias. We do not provide one-on-one support to any of our members. I see that you posted this question in the forum already so we ask that you please be patient. We do our best to answer questions in a timely manner, however, we also need to make sure we are supporting our paid members first with updated materials and answers to their questions so you will not always receive a reply immediately.
S
Hello David, can you help me solve this question?

Consider a ten-year mortgage loan secured by residential real estate, with an EAD of Euro 250,000 and an estimated LGD of 10 %. Supposing the customer’s PD is 2%, compute the capital requirement under the Basel II IRB approach, the standardized approach of Basel II, and under Basel I? Please explain step by step
Max Melkin
I'm a business analyst for the market/credit risk simulation (CVA/PFE) unit in a bank's investment department
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In the FRTB, the liquidity horizon are 10,20,40,60, 120 but also see 10,20,60, 120, 250. Are these typos or relate to FRTB and Basel^
Rohit
Hi, could you please add me to the whats app group +1-818-610-9175. Thanks!
T
Hi, I don't know how to do a new post. But I'm having problem with the Pt.2 Market Risk Excel sheets. I'm having problem to understand the excel sheet. And While I'm trying to understnad the error measurement for VaR with Confidence interval, I can't find the detailed excel sheet for the exam we used in the video. Can anyone kindly provide some insight?
C
I am so grateful to David and the Bionic Turtle Team. I passed all two levels of the FRM on first attempt. I could never have done it without Bionic Turtle considering i work full time and was writing CFA in June and FRM in November, 2019. Am glad i got the CFA charter and am confident am getting the FRM in March 2020.
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