CVA
Credit Value Adjustments
Counterparty level
ref_value_name =
'RWA Impact'
EAD (incl. collateral exchange)
• Weights based on an external credit assessment of the counterparty
= CQS
• The effective maturity of the transactions with the counterparty
• The risk mitigation effect of credit default swaps (CDSs).
not in scope for the NWB
• The risk horizon (the default is one year)
EAD (Derivatives) =
Original exposure (after CRM and conversion factors)
Formula:
2.33 *
SQRT ( horizon ) *
power ( sum ( 0,5 *
effective_maturity_floored *
net_exposure_value *
non_IM_adjustment *
cva_rating
) ,2 )
where sic_code = '0011000000' (CREDIT INSTITUTIONS)
0,75 *
power((
effective_maturity_floored *
net_exposure_value *
non_IM_adjustment *
) , 2 *
power (
cva_rating
,2)