ActiveViam

Atoti CVA Risk Capital

ActiveViam |
May 16, 2023

Monitoring daily market prices and creditworthiness involves handling vast data points. The credit valuation adjustment risk capital charge shields against volatile asset prices, especially in the OTC derivatives market during crises. Banks must manage exposures and hold enough capital to cover sudden losses from credit quality changes in derivatives or securities financing. Stemming from BCBS 424 updates (“Basel IV”), this regulation refines credit spread risk hedging. Effective risk management demands tools for tracking daily market value changes to prevent capital loss, as inaccurate calculations strain balance sheets significantly.

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