General wrong way risk (GWWR) is defined as due to a positive correlation between the level of exposure and the default probability of the counterparty, due to general market factors. (Specific wrong ...
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 ...
Does anyone know where can I find the exact formula of the regulatory capital charge under Basel III ? (including the VaR, the SVaR, the IRC and two other components I don't remember...) I have been ...