Data-driven WWR for CVA and FVA
A calculation method for regulatory CVA wrong-way risk based on credit and exposure is introduced
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Chris Kenyon, Mourad Berrahoui and Benjamin Poncet introduce a data-driven approach to wrong-way risk for regulatory credit valuation adjustment and its natural extension to accounting funding and credit valuation adjustments. This approach reveals some new properties of wrong-way risk and the requirement for an additional level of scenarios to expand the limited historical data available
Credit valuation adjustment (CVA) capital requirements (MAR50 2020; BCBS
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