- 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
- 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 .
- Correlations between yield curve and inflation rate are set at .
Excel
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