1. Capital/FRTB

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

Slides
  1. Slides

Interest rate -- 2 of 2

  • Correlations ρkl between pairs of risk factors are (symmetrical matrix):

    0-1 years

    1-5 years

    >5 years

    Inflation

    0-1 years

    100%

    70%

    30%

    40%

    1-5 years

    100%

    70%

    40%

    >5 years

    100%

    40%

    Inflation

    100%

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