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

SA-CVA Capital Requirement

The SA-CVA capital requirement is calculated as a sum of capital requirements for delta and vega risks calculated for the entire CVA book:
$K_{C V A} = K_{d e l t a} + K_{v e g a}$
$K_{d e l t a}$ 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.

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