BASEL REFORMS

This session focuses on Commodity Delta (CMDL), which measures the sensitivity of CVA to shifts in commodity spot prices across energy, metals, agricultural, and other commodity sectors.

This session focuses on Equity Delta (EQDL), which measures the sensitivity of CVA to movements in equity spot prices. EQDL captures how changes in equity valuations affect counterparty exposure, particularly in portfolios containing equity derivatives or equity-linked instruments.

his session focuses on Reference Credit Spread Delta (RCSDL), which measures the sensitivity of CVA to changes in the credit spreads of reference entities underlying credit derivatives. Unlike counterparty credit spread risk which captures direct counterparty default risk, RCSDL addresses the mark-to-market impact of spread movements on derivative instruments where credit risk is the underlying exposure.