• Interest rate risk factors are the absolute change of the inflation rate and the parallel shift of the entire risk-free yield curve for a given currency.
• Sensitivity to the yield curve is measured by shifting all yield curves in a given currency by 1 basis point and dividing the resulting change in the aggregate CVA by 1 basis point. Sensitivity to the inflation rate is obtained by changing the inflation rate by 1 basis point and dividing the resulting change in the aggregate CVA by 1 basis point.
• Risk weights for both yield curve and inflation rate are set at $R{W}_k=1.5\%$.
• Correlations between yield curve and inflation rate are set at ${\rho }_{kl}=40\%$.

Excel

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