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Basel 3 and Cva: the counterparty risk management and valuation

Author

Listed:
  • Walter Vecchiato

    (Gruppo Veneto Banca)

  • Eugenio Virguti

    (Università del Sannio)

Abstract

Basel 3 has incorporated valuation adjustment in calculations of regulatory capital for counterparty credit risk, introducing an important element for the pricing and risk management of derivatives portfolios. The use of an advanced or standardized Cva risk capital charge method depends on whether banks have existing regulatory approvals for both Imm and specific risk VaR model

Suggested Citation

  • Walter Vecchiato & Eugenio Virguti, 2013. "Basel 3 and Cva: the counterparty risk management and valuation," BANCARIA, Bancaria Editrice, vol. 5, pages 49-57, May.
    • Handle: RePEc:ban:bancar:v:5:y:2013:m:may:p:49-57
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    File URL: http://www.bancaria.it/en/basel-3-and-cva-the-counterparty-risk-management-and-valuation/
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    More about this item

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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