Three different methods for calculating exposure at default for credit valuation adjustments (CVA) are described: the new regulatory standard approach for counterparty credit risk (SA‐CCR), the widely used current exposure method (CEM), and an advanced approach are introduced and compared regarding their quantitative impact on swap pricing. The paper also gives an overview on differences between the regulatory approach for calculating exposure at default for CVA capital requirements and the best practice approach for estimating international financial reporting standards accounting fair value adjustments.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.