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

        • Slides
        • Excel
        Slides
        • Standardised Approach
          • Delta and Vega Sensitivities Using Finite Shifts
            • Curvature Risk
              • Default Risk Charge
                • Residual Risk Add-On
                  • Risk Weights and Correlations for GIRR
                    • Risk Weights and Correlations for GIRR
                    • Correlations - 1 of 2
                    • Correlations - 2 of 2
                  • Risk Weights and Correlations for FX
                    1. Slides
                    2. Risk Weights and Correlations for GIRR
                      • Standardised Approach
                      • Delta and Vega Sensitivities Using Finite Shifts
                      • Curvature Risk
                      • Default Risk Charge
                      • Residual Risk Add-On
                      • Risk Weights and Correlations for GIRR
                      • Risk Weights and Correlations for FX

                    Correlations - 2 of 2

                    • The delta risk correlation ρkl between a sensitivity WSk to the inflation curve and a sensitivity WSl to a given vertex of the relevant yield curve is 40%.
                    • The delta risk correlation ρkl between a sensitivity WSk to a cross currency basis curve and a sensitivity WSl to a given vertex of the relevant yield curve, the inflation curve or another cross currency basis curve (if relevant) is 0%.
                    • The parameter γbc = 50% must be used for aggregating between different currencies.
                    • An example to clear things up: the correlation between sensitivity to the vertex 1 year of the Eonia swap curve and the sensitivity to the vertex 5 year of the Eonia swap curve in the same currency is
                      max e-3%* 1 - 5 min[1;5] ;40% = 88.69%
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