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;
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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;
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Examples of CVA risk in a sentence

  • Counterparty default risk and CVA risk together represent two components of overall counterparty risk assumed by BNY Mellon in its FX and derivative trading activities.

  • The Group has adopted the standardised credit valuation adjustment (“CVA”) method to calculate the capital charge for the CVA risk of the counterparty.

  • APS 180 also allows an ADI to include eligible CVA hedges in the calculation of the CVA risk capital charge.

  • Item 7Item 7.1 Approach for calculating the CVA risk capital chargeAn ADI that has permission from APRA to calculate its CVA risk capital charge using the simplified approach should input ‘simplified approach’, otherwise it should input ‘standardised formula’.

  • The Group adopts the standardised method to compute CVA risk capital requirements.

  • The CVA risk is transferred internally within banks from business desks to CVA desks by transacting a Contingent Credit Default Swap (CCDS).

  • This Regulation applies to all banks providing services to European citizens; and the finalisation of Basel 3 published by the Basel committee in December 2017, introducing a revision to the measurement of credit risk, operational risk and credit valuation adjustment ("CVA") risk for the calculation of risk-weighted assets.

  • Traditionally, CVA risk has been retained on banks’ balance sheets along with the risk implied by the CVA mark-to-market volatility.

  • CVA risk charge) and 67: CVA risk capital charge (EU CCR2) in chapter 5.6 of the 2018 Registration Document.

  • CVA risk charge) in chapter 5.6 of the 2018 Registration Document.

Related to CVA risk

  • Low risk means normal, uncomplicated prenatal course as determined by adequate prenatal care and prospects for a normal, uncomplicated birth as defined by reasonable and generally accepted criteria of maternal and fetal health.

  • operational risk means the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events, and includes legal risk;

  • high risk breach means that the threshold for notifying the individual is higher than that for notifying the relevant supervisory authority.

  • systemic risk means a risk of disruption in the financial system with the potential to have serious negative consequences for the financial system and the real economy;

  • At risk means a student who has the potential for academic failure, including, but not

  • Tail risk means a risk that occurs either where the frequency of low probability events is higher than expected under a normal probability distribution or where there are observed events of very significant size or magnitude.

  • market risk means the risk of loss for the individual portfolio resulting from a fluctuation in the market value of positions in the portfolio attributable to changes in market variables, such as interest rates, foreign exchange rates, equity and commodity prices, or an issuer's creditworthiness;

  • Erosion means the detachment and movement of soil or rock fragments by water, wind, ice, or gravity.

  • High Risk Activities means activities where the use or failure of the Services would reasonably be expected to result in death, serious personal injury, or severe environmental or property damage (such as the creation or operation of weaponry).