What is Basic approach CVA (BA-CVA) in FRM Part 2?

Simplified standardized capital approach for credit-valuation-adjustment risk with limited hedge recognition. BA-CVA reduces implementation burden but is less risk-sensitive than SA-CVA. It can leave a well-hedged desk with a relatively blunt capital result.

Basic approach CVA (BA-CVA)

FRM Part 2 glossary · Credit Risk

Definition

Simplified standardized capital approach for credit-valuation-adjustment risk with limited hedge recognition.

Basic approach CVA (BA-CVA) in plain English

BA-CVA reduces implementation burden but is less risk-sensitive than SA-CVA. It can leave a well-hedged desk with a relatively blunt capital result.

Also called: BA-CVA

Learn these first

Credit and Debit Valuation Adjustments (CVA/DVA)

Related FRM Part 2 terms

Country risk premium (CRP)
Cover 2
Credit conversion factor (CCF)
Credit and Debit Valuation Adjustments (CVA/DVA)
Default waterfall
Distance to default (DD)
Economic capital
Excess spread
Expected Loss (EL)
Expected Positive Exposure (EPE)

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