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    • FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 352)
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    • 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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        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

        Sensitivity buckets - 3 of 3

        • In the formula for Kb, R is a hedging disallowance parameter, set at [0.01], that prevents the possibility of perfect hedging of CVA risk, and
          WSk = WSkCV A + WS kHdg
          WSkCV A = RW k ⋅ skCV A
          WSkHdg = RW k ⋅ skHdg
          • RWk – risk weights applicable to each risk type specified in the table below.
          • skCV A – sensitivity of the aggregate CVA to each risk factor k in the risk type. The sensitivities are defined as the ratio of change of the quantity in question caused by a small change of the risk factor current value to the change size.
          • skHdg – sensitivity of all eligible hedges to each risk factor k in the risk type.
          • ρkl – correlation parameters applicable to each risk type.

        Excel

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