The weighted sensitivities of the aggregate CVA and of the market value of all eligible hedges to each risk factor shall be calculated by multiplying the respective net sensitivities by the corresponding risk weight, in accordance with the following formulae:
where:
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k
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= the index that denotes the risk factor k;
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= the weighted sensitivity of the aggregate CVA to risk factor k;
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RWk
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= the risk weight applicable to the risk factor k;
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= the net sensitivity of the aggregate CVA to risk factor k;
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= the weighted sensitivity of the market value of all eligible hedges in the CVA portfolio to risk factor k;
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= the net sensitivity of the market value of all eligible hedges in the CVA portfolio to risk factor k.
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