• Interest rate vega risk factors are a simultaneous relative change of all implied volatilities for the inflation rate and a simultaneous relative change of all implied interest rate volatilities for a given currency.
• Sensitivity to the interest rate (or inflation rate) volatilities is measured by simultaneously shifting all interest rate- (or inflation rate-) implied volatilities by 1% relative to their current values value and dividing the resulting change in the aggregate CVA by 1%.
• Risk weights for both interest rate and inflation volatilities are set to $R{W}_k=R{W}_{\sigma }*\sqrt{6}$, where $R{W}_{\sigma }$ is set at 55%.
• Correlations between interest rate volatilities and inflation volatilities are set at ${\rho }_{kl}=40\%.$

Excel

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