BaCva

The BA-CVA capital charge (Basel MAR50.1-50.8; CRR3 Art. 384).

Reduced: @@PRE0@@

Full adds single-name and index CDS hedge recognition: @@PRE1@@

with SNH_c the single-name hedges of counterparty c weighted by r_hc, IH the index hedges, and HMA_c the hedge-misalignment residual sum_h (1 - r_hc^2) * (RW_h M_h B_h DF_h)^2.

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Constructors

BaCva(BaCvaParameters parameters)

Methods

BaCvaResult charge(List<Exposure> exposures, List<CvaHedge> hedges)