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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

        Equity delta - 2 of 2

        • Equity delta risk factors for a given bucket:
        • The single equity vega risk factor is a simultaneous relative shift of market-implied volatilities for all reference names in the bucket.
        • The sensitivities are measured by shifting the market-implied volatilities for all reference names in the bucket by 1% relative to their current values and dividing the resulting change in the aggregate CVA (or the value of CVA hedges) by 1%.
        • Risk weights for equity volatilities are set to RWk = RWσ *2 for large capitalisation buckets and to RWk = RWσ *12 for small capitalisation buckets and to RWσ is set to 55%.
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