WWR multiplier 1.0-1.5x on CVA for credit-correlated exposures
| source | ISDA SIMM methodology |
| derivation | expert_judgment |
| quality | estimated |
| regulatory frameworks | Basel III SA-CCR |
| set | 2026-05-25 |
| last reviewed | 2026-05-25 |
| next review due | 2026-06-30 |
Captures positive correlation between counterparty PD and exposure.