- The contribution of credit spread variability
is defined as:
- is the supervisory ES of CVA of counterparty , where the summation is performed over all netting sets with the counterparty.
- is the supervisory correlation between the credit spread of a counterparty and the systematic factor.
- is the multiplier used to convert EEPE to EAD (the default value is 1.4).
- is the supervisory risk bucket of counterparty .
- is the supervisory weight for risk bucket .
- is the EAD of netting set NS (which is calculated by SA-CCR).
- is the effective maturity for netting set NS, calculated as the weighted-average remaining maturity of the individual transactions.