This session focuses on Foreign Exchange Delta (FXDL), which measures the sensitivity of CVA to movements in foreign exchange spot rates relative to the firm's reporting currency. FXDL captures directional FX exposure using a star topology where all currency pairs are measured against the reporting currency as the numeraire.

Interest Rate Delta (IRDL) measures the sensitivity of CVA to changes in risk-free interest rates. When yield curves shift, the impact propagates through both the exposure simulation and the discounting process, directly affecting CVA values. IRDL captures this fundamental risk by quantifying how a one-basis-point movement in interest rates translates into CVA capital requirements.

The Standardised Approach for CVA Risk (SA-CVA) is a sensitivity-based capital framework that calculates regulatory capital requirements for Credit Valuation Adjustment risk. Unlike the basic approach which applies formulaic calculations, SA-CVA measures how a bank's aggregate CVA changes in response to movements in granular risk factors such as interest rates, foreign exchange rates, credit spreads, equity prices, and commodity prices.