CRR III Channel News (4): Revised CVA approaches and new trading book boundary: Finalising FRTB and CVA

Global Basel IV Leader Martin Neisen and Belgian Basel IV Leader Guillaume Magdelyns highlight the CRR III capital requirements for the assessment of market risk and CVA.

Welcome to the CRR III News Channel! Global Basel IV Leader Martin Neisen and Belgian Basel IV Leader Guillaume Magdelyns highlight the CRR III capital requirements for the assessment of market risk and CVA.

The new CRR III Channel episode:

• outlines the revised approaches for credit valuation adjustment risk and provides details on the calculation methodology including exemptions from the own funds requirements
• describes how the trading book boundary and FRTB revised approaches A-SA and A-IMA are introduced with CRR III
• gives an overview of the changes of the calculation of the capital requirements for collective investment undertakings (CIU)
• analyses impacts and challenges of the revised framework for market risk and credit valuation adjustment risk for the banking sector.

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