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.

This session focuses on Counterparty Credit Spread Delta (CCSDL), which measures the sensitivity of CVA to changes in counterparty credit spreads. CCSDL captures the primary driver of CVA volatility—the creditworthiness of the entities with whom the bank trades derivatives. When a counterparty's credit spread widens, it signals deteriorating credit quality and drives CVA values higher, directly impacting the bank's profit and loss.