- 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
- Risk weights RW k are the same for all tenors and depend on the
counterparty’s bucket according to one of two options:
IG Bucket
Risk weight – Option 1
Risk weight – Option 2
1
2.5%
4.3%
2
5%
5%
3
3.5%
3.5%
4
3%
3%
5
2.5%
2.5%
6
2%
2%
HY/NR Bucket
Risk weight – Option 1
Risk weight – Option 2
7
10%
10%
8
12%
8.5%
9
9%
6.4%
10
10%
7.1%
11
9%
6.4%
12
6%
4.2%
13
12%
8.5%
Excel
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