Navigation :
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User & Reference Guide
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Developer Guide
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Release and migration notes
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-- Release notes
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-- Migration notes 4.0
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Getting started
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Extending Atoti CVA Risk Capital
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Getting started
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- Using this guide
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- PDF guides
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- About the Solution
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- What's New
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- Bookmarks
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Cube reference
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Regulatory calculations
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- Aggregate capital - Regulatory Calculation
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- BA approach
test ./ test regulatory-calcs/approach-sa.html
- SA approach
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- MAR50 references
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- Parameter Sets
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- Regridding
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Input file formats
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What-If
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Widgets
Regulatory calculations
This section provides an overview of the implemented measures and the business logic to support Regulatory CVA minimum capital requirement calculation.
Throughout the document, formulas are taken from the chapter MAR50 .
Aggregate capital - Regulatory Calculation
Aggregate capital - is the overarching capital measure, combining the results of BA and SA calculations based on the configured capital treatment.
BA approach
This section describes the input data, calculations and results of the BA-CVA approach.
SA approach
This section provides descriptions of input data, interim calculations and final results of the SA-CVA approach.
MAR50 references
Cube measures linked to Chapter MAR50.
Parameter Sets
The Solution supports multiple (hierarchical) sets of supervisory parameters.
Regridding
Regulatory vertices and interpolation If tenor dates provided in the sensitivities input data do not match the regulatory vertices (for example, if the risk engine produced more granular sensitivities for the hedge instruments), the Solution allocates the sensitivities to tenors defined in [MAR50] using linear interpolation. The resulting tenors can be displayed using this hierarchy: [Vertices].[Vertices].