• For FX delta and vega risks, buckets are individual currencies except a bank’s domestic currency, and the cross-bucket correlation is ${\gamma }_{bc}=0.6$ for all currency pairs.
• The single FX delta risk factor is the relative change of the FX spot rate between a given foreign currency and a bank’s domestic currency (ie only foreign-domestic rates are risk factors).
• Sensitivities to the FX spot rate are measured by shifting a given foreign-domestic rate by 1% relative to its current value and dividing the resulting change in the aggregate CVA (or the value of CVA hedges) by 1%.
• All foreign-foreign rates involving the currency of the shifted foreign-domestic rate are shifted accordingly via the representation of the foreign-foreign rate via the ratio of two foreign-domestic rates.
• Risk weights for all foreign-domestic rates are set at $R{W}_k=15\%$.

Excel

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