White paper
SA-CVA or BA-CVA, which approach is cheaper depends on the book
For heads of capital: why many banks chose BA-CVA, when it costs them capital, when SA-CVA is not cheaper, what the published impact figures say, and how to settle it on your own book within days.
White paper, 6 pages, PDF. Sent on request, to a company email.
What it covers
- BA-CVA won by default because SA-CVA needed sensitivities many engines could not afford
- On hedged corporate books SA-CVA is usually lower; on collateralised or internal-model exposures BA-CVA can be
- The only way to know is to run both on your own book, which is what the Capital Study does within days
