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There are two main drivers of CVA: (1) Credit risk component:
Counterparty credit spread, on the market fluctuates every day and
CVA 有两个主要驱动因子：（1）信用风险: 交易对手信用利 (2) Market risk component: Change in exposure.
差, 每日市场波动 （2）市场风险: 风险敞口的变化。
The first version of CVA only recognizes the credit spread and
第一版 CVA 仅仅考虑了信用利差，而没有考虑市场风险因 ignores the exposure risk from the market. It uses a static exposure
子。它用了静态的敞口，有如下缺陷： profile and has some limitations:
1. Misses one half of the equation and only captures the credit risk
1. 缺失了等式的另一半，仅考虑了信用风险部分。
component.
2. 静态敞口不是来自银行自己会计上的 CVA 模型，而是来自
2. The static exposure profile is not coming from the bank's own
于基于 CCR 风险要求的监管资本，例如 IMM 模型。这引 accounting CVA models, but it's coming from the regulatory
入了违约风险和 CVA 风险之间的依赖关系。理想情况下， capital of CCR default risk charge (e.g. IMM model). This
大多数银行都将风险中性模型视为 CVA 的最佳实践，而不 introduces the dependency between the default risk and the CVA
是 CCR 违约风险和 PFE(基于历史数据的模型)。当然银行 risk. Ideally, most banks would consider a risk neutral model as
通常会尝试以一种或另一种方式进行折衷。 the best practice for CVA, whereas for CCR default risk and PFE
a historical based model is preferred, since the materialized
3. 由于它不符合法规监管上的 CVA 和会计上的 CVA，因此
default risk is being measured. In practice the banks will usually
引起了业界的批评。这使得银行很难同时管理会计，CVA
try to compromise in one way or another.
损益和 CVA 资本。如果选择对冲会计上损益，则可能会增
3. It draws criticism from the industry because it misaligns
加资本。如果选择对冲资本，则可能对损益表影响很大。 Regulatory CVA and Accounting CVA. It makes banks really
difficult to manage the accounting, the P&L of the CVA and the
BCBS 2015：修订版 CVA 监管框架
capital of the CVA at the same time. If you choose to hedge the
1. BA-CVA 是一种基本法，基于标准化的闭合型公式得出的 accounting P&Ls, you might increase your capital. If you choose
方法，和是对于先前 SA 的升级。 to hedge your capital, you might actually increase the economic
risk of larger P&L on the statement.
2. FRTB-CVA 框架与 FRTB 市场风险资本框架一致: (a) IMA
CVA 允许银行对于风险敞口和信用利差部分建模，需要银 BCBS 2015: Revised Framework of CVA Capital
行做风险中性 CVA 的计算以保持与会计 CVA 一致; (b)
1. BA-CVA is a basic approach, evolution of the previous SA, and
SA-CVA 是基于敏感度 VAR 模型，是一种半模型方法，因 based on standardized closed form formula.
为敏感度也是基于银行自己的模型得出的。
2. Fundamental Review of Trading Books (FRTB) CVA
framework aligns with FRTB market risk capital framework: (a)
在 BSBC 2017，巴塞尔委员会于 2017 年 12 月颁布了最新版的
IMA CVA allows banks to model both exposure and credit
CVA 风险监管框架，而里面移除 IMA CVA 内部模型法。在
spread components and requires the banks to do the risk neutral
BCBS 2019，做了微调以确保与 FRTB 一致。这并不是一次修
CVA calculation to be aligned with accounting CVA; (b) SA
订，而是更新一些风险权重并引入一些其他风险指数等。巴塞 CVA is based on sensitivity VaR method, semi-model-based
尔银行监管委员会明确表示，它不再希望对该规则进行太多修 approach, since sensitivity is still based on your own model.
改，并且很快会在当年完成。由于疫情实施计划搁置至 2024。
In BCBS 2017, the “Finalized” CVA capital framework removed
SA_CVA 一般要求 IMA CVA Approach. In BCBS 2019, it proposed a final fine-tune to
be in line with FRTB. It is not an overhaul, but only updating some
虽然是一种标准化的方法，但是它还是需要监管批准的，和银 risk weight and introducing some additional risk index buckets, etc.
行市场风险标准法不同。 Basel made it clear that it doesn't want to revise too much about this
rule anymore. Rules are expected to be finalized very soon this year.
SA_CVA 使用条件： Its implementation target was delayed to 2024 due to COVID.

1. 快速 CVA 模型：每次计算 CVA 时，银行必须对证券 SA-CVA GENERAL REQUIREMENTS
组合重新评估多次，成百个 CVA 敏感因素也需要重
Although it's a standardized approach, it still needs supervisory
新计算。虽然巴塞尔只要求按月提交资本报告，但是 approval and is different from the market risk standardized approach.
使用 SA-CVA 的银行通常使用活跃的对冲工具，所以
银行基本每日都要对 CVA 敏感度进行计算。 Pre-Condition to use SA-CVA:
2. 银行必须设立一个 CVA 部门（或相似职能的部 1. Fast CVA model: the portfolio has to be revalued many times
门），负责使用 SA-CVA 的 CVA 风险管理。 every time CVA is calculated. On top of that, hundreds of CVA
sensitivity factors need to be calculated. Although Basel only
requires monthly reporting of the capital, banks using the SA-
CVA model are usually actively hedging, so those banks
typically look at a daily turnaround time for CVA sensitivity
calculation.
2. Active CVA desk to manage CVA risk is required to use SA-
CVA.

CCFA JOURNAL OF FINANCE DECEMBER 2020
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