• Citing the high computational burden of computing CVA sensitivities, FRTB-CVA draft document provides for a reduced number of sensitivity buckets (“vertices”) compared to the FRTB Market Risk framework.
• For example, for the interest rates ten buckets provided in FRTB are reduced to three buckets in FRTB-CVA.
• Risk charge calculated as an aggregation of bucket-level capital charges across buckets within each risk type ([?], Annex 1.B.2.c.):

  $$K_{}=m_{CVA}\cdot \sqrt{\sum _b{K}_b^2+\sum _b\sum _{c\ne b}{\gamma }_{bc}\cdot K_b\cdot K_c}$$

  where $m_{CVA}$ – CVA multiplier and ${\gamma }_{bc}$ – correlation parameter.

Excel

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