- 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
- The single FX vega risk factor is a simultaneous relative change of all implied volatilities for a given foreign-domestic rate.
- Sensitivities to the FX volatilities are measured by simultaneously shifting all market-implied volatilities for a given foreign-domestic rate by 1% relative to their current values and dividing the resulting change in the aggregate CVA (or the value of CVA hedges) by 1%.
- Volatilities of all foreign-foreign rates involving the shifted currency are shifted accordingly via the representation of two foreign-domestic rate volatilities and the relevant implied correlation (the latter is assumed to be fixed).
- Risk weights for FX volatilities are set to , where is set at 55%.
Excel
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