Abstract
Credit Valuation Adjustments (CVA) have been common standard since the crisis in the banking sector. Dr. Monika Marquart describes three different methods for calculating exposure at default for CVA: The new regulatory SA-CCR, the widely used CEM and an advanced approach are introduced and compared regarding their quantitative impact on swap pricing. The article also gives an overview on differences between the regulatory approach of the Basel Committee and the best practice assumptions usually made in accounting for estimating IFRS fair value adjustments.
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