Apa itu CVA risk capital?

CVA risk capital is the capital a bank holds against losses from changes in CVA. In the reduced basic approach it is $0.65\sqrt{(\rho\sum_c\mathrm{SCVA}_c)^2+(1-\rho^2)\sum_c\mathrm{SCVA}_c^2}$ with $\rho = 50\%$ and, per counterparty, $\mathrm{SCVA} = \mathrm{RW}\cdot M\cdot\mathrm{EAD}\cdot\mathrm{DF}/1.4$: a risk weight by sector and credit quality (3% for an investment-grade industrial), the effective maturity and a supervisory discount factor.