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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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          • Andersen Pykhtin Sokol 2016
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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

        Foreign Exchange and FX delta

        • For FX delta and vega risks, buckets are individual currencies except a bank’s domestic currency, and the cross-bucket correlation is γbc = 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 RWk = 15%.

        Excel

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