SaCvaParameters

Risk weights, correlations and the m_CVA multiplier for the SA-CVA capital charge (Basel MAR50.9-50.53; CRR3 Art. 383). Every value here is indicative — transcribed from the cited text for a runnable demo and to be checked against the reader's current rulebook. The authoritative copy belongs in the bank's parameter store, versioned, with provenance.

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Record components

mCva: double
creditSpreadRw: Map<String, Double>
creditSpreadVegaRw: double
girrDeltaRw: double
girrVegaRw: double
fxDeltaRw: double
fxVegaRw: double
creditSpreadRho: double
creditSpreadGamma: double
fxGamma: double

Methods

static SaCvaParameters demo()

MAR50 indicative demo tables. Not for regulatory use.

double deltaRiskWeight(RiskFactor factor)

double vegaRiskWeight(RiskFactor factor)

double withinBucketCorrelation(RiskClass riskClass)

double acrossBucketCorrelation(RiskClass riskClass)