BaCvaParameters

Parameters for the BA-CVA capital charge (Basel MAR50.1-50.8; CRR3 Art. 384): the supervisory correlation rho = 0.5, the beta = 0.25 weight on the unhedged charge in the full version, the alpha = 1.4 that converts effective EPE to EAD, and the counterparty risk-weight table by rating and sector.

The risk weights are indicative, transcribed from the MAR50.5 table shape for a runnable demo; verify against the current rulebook.

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Record components

rho: double
beta: double
alpha: double

Methods

static BaCvaParameters standard()

double riskWeight(CreditName.Rating rating, CreditName.Sector sector)

Counterparty risk weight RW_c by rating and sector (MAR50.5, indicative).

double supervisoryDiscount(double effectiveMaturityYears)

Supervisory discount factor (1 - e^{-0.05 M}) / (0.05 M).