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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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          • 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 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 ρkl between different tenors for the same counterparty: 65%.
        • Correlations ρkl between any tenors of different counterparties: 35%.
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