• The SA-CVA capital requirement is calculated as a sum of capital requirements for delta and vega risks calculated for the entire CVA book:

  $$K_{CVA}=K_{delta}+K_{vega}$$

• $K_{delta}$ is calculated as a sum of delta capital requirements calculated independently for the following six risk types, each with its own set of risk weights:

  i.

  Counterparty credit spreads;

  ii.

  Interest rate;

  iii.

  Foreign exchange;

  iv.

  Reference credit spreads (credit spreads influencing exposure);

  v.

  Equity;

  vi.

  Commodity.

Excel

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