Page 36 - CCFA Journal - Second Issue

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CVA 模型的监管要求： Regulatory CVA requirements for CVA model:
1. 在敞口模型里，使用带有内含校准的风险中性方法， 1. In the Exposure model, it uses risk neutral measure with implied
和之前使用内部模型的版本不一样。另外，它要求使 calibration, which is different from the previous version, where
IMM based exposures are used. Also, it requires to use the same
用和前台、会计方法相同的敞口模型和校准数据从而 exposure models and calibration data as the one that was used in
和会计、监管 CVA 保持一致。 the front office and accounting method, which aligns the
2. 必须使用市场隐含的违约概率，并不是历史违约率。 accounting and the regulatory CVA.
预期违约损失率也必须与隐含违约率保持一致。 2. It should use market Implied Probability of Default (PD), not
historical PD. The loss given default (LGD) has to be consistent
3. 与会计 CVA 的主要区别还是存在，就是没有 DVA。 with implied PD as well.
监管资本 CVA 仅从银行本身无违约的角度考虑。银 3. There is no DVA. The one key difference from accounting CVA
行无法从 DVA 获益。从监管角度来说，这是一个谨 still remains. The CVA for regulatory capital is only considered
慎的方法。 as from the perspective of the bank being default-free itself.
Bank then cannot realize the benefit of the DVA. That is a
4. 残留的交易对手风险（MPOR）要求是净额结算中使 prudent approach from a regulatory perspective.
得抵押品价值最小化。 4. There is Margin Period of Risk (MPOR) requirement, which is
5. 考虑错向风险（WWR）和正向风险（RWR）。要求 the minimal value of the collateral on the cleared transactions
将 WWR 和 RWR 考虑进模型中，否则可能会在计算 netting set.
5. Consider Wrong Way Risk (WWR) and Right Way Risk (RWR).
资本时受到大的影响。
It requires to model the WWR and RWR appropriately;
otherwise, banks may suffer penalties in terms of the scale-up
覆盖范围
modifiers of the capital.
1. 所有衍生品除了合格中央对手方。
Coverage
2. 包括 SFT：证券融资交易被包括了在了 CVA 资本
下，之前版本并不包括非重大证券融资交易。现在默 1. All Derivatives except QCCP. All derivatives except exposure
to cleared qualified central counterparty (QCCP) derivatives
认包括，除非银行能证明是非重大的。
2. Include SFT: What's new is that now SFT is under CVA capital
3. SA-CVA 和 BA-CVA 的融合：对于大多数银行来说， coverage, and previously it didn't require you to include the SFT
他们可能采取 SA-CVA 和 BA-CVA 混合的方法，因 unless the regulator says it is material. Now it's the other way
为只使用特定的模型可能无法模拟一些特殊外部因 around. By default, you need to include it unless banks can prove
素。 that these transactions are immaterial.
3. Mixture of SA-CVA and BA-CVA: For most banks, they are
SA-CVA 的计算方法 likely to use a mixture of SA-CVA and BA-CVA because there
are exotics that cannot be simulated with a certain model.
遵循市场风险 FRTB 的敏感度 VaR 方法
SA-CVA CALCULATION METHODOLOGY
1. Vega 风险
Follows sensitivity VaR approach from the Market Risk FRTB
a. 利率、外汇、股权、大宗商品
b. 参照信用利差 1. Vega risk
2. Delta 风险 a. IR, FX, Equity, Commodity
b. Reference credit spread
a. 利率、外汇、股权、大宗商品 2. Delta risk
b. 参照信用利差：如果一个 CDS 在投资组合 a. IR, FX, Equity, Commodity
里，它是投资组合的一部分，它有潜在的信 b. Reference credit spread - if a Credit Default Swap
(CDS) is in the portfolio, it is part of the portfolio and
用利差风险因素。
it has an underlying risk factor of the credit spread.
c. 交易对手信用利差：交易对手的利差不是你 c. Counterparty credit spread - the spread of the trading
投资组合的一部分，但是信用利差是。 counterparty is not part of your portfolio but it’s the
3. 无线性风险：与 FRTB 不同，它仅具有 Vega 风险和 credit spread component.
3. No curvature risk charge: Different from FRTB, it only has Vega
Delta 风险。没有考虑非线性风险。为避免繁重的计
risk and Delta risk. No curvature risk charge is considered. Basel
算，巴塞尔试图减少风险因素。 tried to reduce the granularity of the risk factors because of the
heavy computation burden.

CCFA JOURNAL OF FINANCE DECEMBER 2020
Page 36 第36页