FRTB Standardised Approach for CVA (SA-CVA, BCBS 325)

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 $R W_{k} = R W_{σ} * \sqrt{2}$ for large capitalisation buckets and to $R W_{k} = R W_{σ} * \sqrt{12}$ for small capitalisation buckets and to $R W_{σ}$ is set to 55%.