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In Basel III the CVA VaR “is restricted to changes in the counterparties’ credit spreads and does not model the sensitivity of CVA to changes in other market factors, such as changes in the value of the reference asset, commodity, currency or interest rate of a derivative.”

So, in the general dependent case (WWR/RWR), shall spread changes then be conditioned on market factors or independence be forced? Asking for both current practice and regulators' view...

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a good candidate for area51.stackexchange.com/proposals/74015/finreg – RawFocus Jul 12 '14 at 16:10

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