- Introduction
- Multiplier m(CVA)
- Hedge eligibility
- Margin Period of Risk
- SA-CVA Capital Requirement
- Sensitivity buckets - 1 of 3
- Sensitivity buckets - 2 of 3
- Sensitivity buckets - 3 of 3
- Buckets, risk factors, sensitivities, risk weights and correlations
- Interest rate -- 1 of 2
- Interest rate -- 2 of 2
- Delta for other currencies
- Vega for any currency
- Foreign Exchange and FX delta
- FX vega for any foreign currency
- Counterparty credit spread - 1 of 3
- Counterparty credit spread - 2 of 3
- Counterparty credit spread - 3 of 3
- Counterparty credit spread delta risk factors for a given bucket - 1 of 2
- Counterparty credit spread delta risk factors for a given bucket - 2 of 2
- Equity - 1 of 2
- Equity - 2 of 2
- Equity delta - 1 of 2
- Equity delta - 2 of 2
Interest rates
- For interest rate delta and vega risks:
- buckets are individual currencies,
- cross-bucket correlation is for all currency pairs.
- Interest rate delta risk factors for a bank’s domestic currency, USD, EUR, GBP
or JPY:
- Interest rate delta risk factors are the absolute change of the inflation rate and the parallel shift of three pieces of the risk-free yield curve: up to one year, one to five years and greater than five years.
- Sensitivities to pieces of the yield curve are measured by shifting the relevant piece of all yield curves in a given currency by 1 basis point and dividing the resulting change in the aggregate CVA (or the value of CVA hedges) by 1 basis point. Sensitivity to the inflation rate is obtained by changing the inflation rate by 1 basis point and dividing the resulting change in the aggregate CVA (or the value of CVA hedges) by 1 basis point.
Excel
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