<r>Hi all!We are two students currently working on our masters thesis on Basel III CVA risk capital charge. We are currently a little stuck on the advanced method for CVA risk capital charge. We are able to calculate CVA according to paragraph 98, page 31 in "Basel III A global regulatory framework ...

<r>Hi!I've found a mathematical derivation for the advanced method for CVA calculation in Basel III, but I have not found the theoretical background for the standardised method. See page 35 in the decument: <URL url="http://www.bis.org/publ/bcbs189.pdf">http://www.bis.org/publ/bcbs189.pdf</URL> It l...