‹ CA-3.4.13 CA-4.1 Introduction › CA-4 Interest rate risk - Standardised approach CA-4.1 Introduction CA-4.1.1 CA-4.1.2 CA-4.1.3 CA-4.1.4 CA-4.1.5 CA-4.1.6 CA-4.1.7 CA-4.1.8 CA-4.2 Specific risk calculation CA-4.2.1 CA-4.2.2 CA-4.2.3 CA-4.2.4 CA-4.2.5 CA-4.2.6 CA-4.3 General market risk calculation CA-4.3.1 CA-4.3.2 CA-4.3.3 CA-4.3.4 CA-4.4 Maturity method CA-4.4.1 CA-4.4.2 CA-4.5 Duration method CA-4.5.1 Duration method: time-bands and assumed changes in yield CA-4.6 Derivatives CA-4.6.1 CA-4.6.2 CA-4.6.3 CA-4.6.4 CA-4.6.5 CA-4.7 Calculation of derivative positions CA-4.7.1 CA-4.7.2 Forward foreign exchange contracts Deposit futures and FRAs Bonds futures and forwards bond transactions Swaps CA-4.8 Netting of derivative positions Permissible offsetting of fully matched positions for both specific and general market risk Permissible offsetting of closely matched positions for general market risk only CA-4.9 Calculation of capital charge for derivatives CA-4.9.1 ‹ CA-3.4.13 CA-4.1 Introduction ›
