I have included the Article (section or regulatory requirements) for calculating the CVA. This formula is provided by Basel and has been adopted by the EBA.
I need help in trying to understand the mathematical operation for arriving at the CVA.
While I am aware that that my question is vague. I will appreciate if anyone can start at a high level in providing the following information:
1. What does the formulae achieve by calculating the square root of a portion of the value which is a square of sum of the individual values (A)
and the other section being the sum of the squares of the individual values (B)