Regulatory and internal model validation services from CompatibL
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