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Chapter 10: Calculation of KVA and MVA

      https://doi.org/10.1142/9789813272743_0010Cited by:0 (Source: Crossref)
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      Abstract:

      As has already been stated in previous chapters, calculation of KVA (and MVA) is computationally intense when the internal model (or even the Standardized Approach under Basel III) is used. In this section, we will discuss the computational burden. KVA is given by…