CVA risk definition
CVA risk means the risk of mark-to-market losses in a transaction with a counterparty arising from a change in the credit valuation adjustment for the counterparty, as defined in §226A of the Banking (Capital) Rules;
CVA risk means the risk of mark-to-market losses arising from changes in CVA values in response to changes in credit spreads of counterparties and market risk factors that drive the price of OTC derivative transactions and SFTs as defined in §2(1) of the BCR;
CVA risk means the risk of mark-to-market losses arising from changes in CVA values in response to changes in credit spreads of counterparties and market risk factors that drive the price of OTC derivative transactions and SFTs as defined in §2(1) of the BCRmeans the risk of mark-to-market losses in a transaction with a counterparty arising from a change in the credit valuation adjustment for the counterparty, as defined in §226A of the Banking (Capital) Ruls;
Examples of CVA risk in a sentence
The document concludes the proposals and consultations on-going since 2014 in relation to credit risk, credit value adjustment ("CVA") risk, operational risk, output floors and leverage ratio.