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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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          • Margin Period of Risk
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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

        Margin Period of Risk

        • FRTB-CVA requires that the model used to compute CVA sensitivities for collateralized counterparties includes the margin period of risk (MPoR), a period of time prior to counterparty default when the counterparties no longer exchange the prescribed margin or trade flows.
        • For full collateralization (zero collateral threshold) and low collateral thresholds, MPoR is the primary contribution to the residual exposure in the presence of collateral.
        • The recently completed FRTB-CVA QIS requested industry feedback for the two alternatives for a supervisory floor for the MPoR length:
          • Flat 10 business days for daily re-margining, or 9 + N where N is the re-margining period; or
          • The current supervisory floor, as specified in Annex 4 of the existing Basel III standards, which is extended for (a) large netting sets that include more than 5,000 trades or (b) recent collateral disputes.
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