Numerix: Regulatory Guide to Understanding Bank Capital and Margin Requirements

Extensions and revisions of bank capital and margin requirements have given rise to increased interest in capital calculations and the methods employed. Developed by Dr. Serguei Issakov, Global Head of Quantitative Research at Numerix, the following maps out the landscape of bank capital and margin requirements breaking it down into logical components. 

The first diagram lists three components of capital calculation for bilateral trades (market risk, CCR, and CVA capital) corresponding to

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