CVA (Credit Valuation Adjustment)

R2026b

Calculate CVA capital requirements using Standardized Approach (SA-CVA) and Basic Approach (BA-CVA) under the Basel MAR50 framework

The Basel Committee on Banking Supervision defined the CVA regulatory framework in Basel MAR50. The CVA framework standardizes the calculation of capital requirements for CVA risk. As part of the Basel III framework, financial institutions globally implement the CVA framework to calculate capital requirements uniformly.

The CVA framework provides two approaches for calculating CVA capital charges:

SA-CVA (Standardized Approach) — Calculates capital based on the Delta and Vega sensitivities of CVA and hedge positions to risk factors including interest rates, foreign exchange, counterparty credit spreads, reference credit spreads, equities, and commodities. For the SA-CVA regulatory framework, create the sacva object and then use the capital object function.
BA-CVA (Basic Approach) — Calculates capital based on counterparty exposure amounts, counterparty sector classifications, and optionally eligible CVA hedges. The BA-CVA framework supports both a full version (exposure plus hedges) and a reduced version (exposure only). For the BA-CVA regulatory framework, create the bacva object and then use the capital function.

Objects

expand all

SA-CVA

sacva Create sacva object to support ISDA SA-CVA (Since R2026b)

BA-CVA

bacva Create bacva object to support ISDA BA-CVA (Since R2026b)

Functions

expand all

Compute SA-CVA Capital

capital Calculate SA-CVA capital requirements (Since R2026b)

Compute BA-CVA Capital

capital Calculate BA-CVA capital requirements (Since R2026b)

Properties

expand all

SA-CVA

sacva.Portfolio Properties	SA-CVA portfolio properties (Since R2026b)
sacva.Sensitivity Properties	SA-CVA portfolio sensitivity properties (Since R2026b)
sacva.CapitalResults Properties	`sacva.CapitalResults` object properties (Since R2026b)
sacva.DeltaCapitalResults Properties	`sacva.DeltaCapitalResults` object properties (Since R2026b)
sacva.VegaCapitalResults Properties	`sacva.VegaCapitalResults` object properties (Since R2026b)

BA-CVA

bacva.Portfolio Properties	BA-CVA portfolio properties (Since R2026b)
bacva.Sensitivity Properties	BA-CVA portfolio sensitivity properties (Since R2026b)
bacva.CapitalResults Properties	`bacva.CapitalResults` object properties (Since R2026b)

Topics

ISDA SA-CVA CRIF File Specifications
Use the SA-CVA CRIF file specifications to create a CRIF file for the Standardized Approach to Credit Valuation Adjustment (SA-CVA) framework. (Since R2026b)
ISDA BA-CVA CRIF File Specifications
Use the BA-CVA CRIF file specifications to create a CRIF file for the Basic Approach to Credit Valuation Adjustment (BA-CVA) framework. (Since R2026b)