EBU Single Rulebook Q&A 29 April 2015 2015_1975 CVA Risk Charge Calculation for derivatives in the banking book with local GAAP
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European Union · · · 27-11-2015
Do institutions that use local GAAP for accounting purposes and do not mark-to-market derivatives in the banking book have to calculate a CVA Risk Charge for derivatives in the banking book? CRR indicates that institutions must calculate a CVA Risk Charge for derivatives.
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