Standardized approach CVA (SA-CVA)
FRM Part 2 glossary · Credit Risk
Definition
Sensitivity-based CVA capital approach recognizing prescribed credit-spread and market-risk sensitivities and eligible hedges.
Standardized approach CVA (SA-CVA) in plain English
SA-CVA can reflect hedging more faithfully, but it requires stronger systems, sensitivities, and supervisory approval. It is distinct from the accounting CVA amount on the balance sheet.
Also called: SA-CVA
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