Regulatory and internal model validation services from CompatibL
Counterparty credit spread delta risk factors for a given bucket - 1 of 2
- Counterparty credit spread delta risk factors are absolute shifts of credit spreads of individual counterparties at the following tenors: 0.5 years, one year, three years, five years and 10 years.
- For a given counterparty and tenor point, the sensitivities are measured by shifting the relevant credit spread by 1 basis point and dividing the resulting change in the aggregate CVA by 1 basis point.
- Two sets of risk weights scaled to the liquidity horizons are specified for SA-CVA.
- Correlations between different tenors for the same counterparty: 65%.
- Correlations between any tenors of different counterparties: 35%.