• Login
  • Privacy Policy
  • Home
  • Capital/FRTB
    • FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 352)
    • FRTB Basic Approach for CVA (BA-CVA, BCBS 325)
    • FRTB Standardised Approach for CVA (SA-CVA, BCBS 325)
    • FRTB Internal Models Approach for the Trading Book (IMA-TB, BCBS 352)
  • Models
    • Papers
      • About
        • Home
        • Capital/FRTB
          • FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 352)
          • FRTB Basic Approach for CVA (BA-CVA, BCBS 325)
          • FRTB Standardised Approach for CVA (SA-CVA, BCBS 325)
          • FRTB Internal Models Approach for the Trading Book (IMA-TB, BCBS 352)
        • Models
          • Margin Period of Risk
        • Papers
          • Andersen Pykhtin Sokol 2016
        • About
          • Copyright
          • License
          • Register
        1. Capital/FRTB
          • Privacy Policy
          • Home
          • Capital/FRTB
          • Models
          • Papers
          • About

        FRTB Standardised Approach for CVA (SA-CVA, BCBS 325)

        • Slides
        • Excel
        Slides
        • 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
        1. Slides

        Counterparty credit spread - 1 of 3

        • For counterparty credit spread, vega risk is not calculated. Buckets for delta risk are:




          Bucket Number

          Credit Quality

          Sector




          1

          Investment grade

          Sovereigns including central banks, multilateral development banks




          2

          Investment grade

          Financials including government-backed financials




          3

          Investment grade

          Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying




          4

          Investment grade

          Consumer goods and services, transportation and storage, administrative and support service activities




          5

          Investment grade

          Technology, telecommunications




          6

          Investment grade

          Health care, utilities, local government, government-backed non-financials, education, public administration, professional and technical activities




        Copyright © 2023 ModVal.org | Privacy Policy

        Want to know more?

        Get our brochure on Model Validation Services and get insights:

        • Advantages of model validation
        • Global regulatory standard coverage
        • Benefits of the structured approach
        • Validation steps
        • Test types
        • Model documentation
        Invalid email
        I agree to ModVal.org Privacy Policy *
        Please agree
        I hereby give ModVal.org permission to contact me by email *
        Please permit