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    • FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 352)
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    • FRTB Standardised Approach for CVA (SA-CVA, BCBS 325)
    • FRTB Internal Models Approach for the Trading Book (IMA-TB, BCBS 352)
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          • 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)
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        1. Capital/FRTB
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        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 - 3 of 3

        • For counterparty credit spread delta risk, cross-bucket correlations γbc applying within the same credit quality category (ie either IG or HY&NR) are given by:








          Bucket

          1

          2

          3

          4

          5

          6








          1

          100%

          10%

          20%

          25%

          20%

          15%








          2

          –

          100%

          5%

          15%

          20%

          5%








          3

          –

          –

          100%

          20%

          25%

          5%








          4

          –

          –

          –

          100%

          25%

          5%








          5

          –

          –

          –

          –

          100%

          5%








          6

          –

          –

          –

          –

          –

          100%








        • For cross-bucket correlations γbc applying across IG and HY&NR categories, these correlations are divided by 2.
        • For cross-bucket correlations γbc applying across bucket 13 and another bucket, γbc = 0%.

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