The configuration files that affect capital calculations are: 

Configuration File	Details
Assumptions	Base assumptions common to all calculations.
TaskList	The "Capital" task must be set up with dependencies described below this table.
BusinessUnits	A business unit hierarchy with all of the desks allocated to either the SA or IMA model rolling up to the global business unit.
CapitalCalculations	A calculation specifies a task name, the multiplier for IMA capital based on the results of back testing (Mc) and the list of IMA desks where the P&L Attribution test has them at "Amber" level.

In order to run the Capital task we need to do the following:

1. Create a Capital task in the task list.
2. Set dependencies for the Capital task to the following calculation tasks:
   a) MarketStandard task for capital on SA desks (including sensitivity, default and residual risk).
   b) MarketStandard task for IMA desks (SAga).
   c) IMA task - which rolls up capital from the three IMA components (expected shortfall, DRC and SES).
   d) Optional BACva or SACva task to include CVA capital.
3. Populate a "CapitalCalculations configuration file.

Double-click on the successful Capital task from the summary page to open the capital calculation result view. Here is a sample:

Description of results

• Total Capital is the sum of SA capital (Cu), IMA capital (ACRtotal) and CVA capital (either BA-CVA or SA-CVA).
• SA capital is calculated on a combined portfolio of all the trades belonging to SA desks. It is the sum of sensitivity capital (from delta, vega, curvature sensitivities), default risk capital and residual risk capital.
• IMA capital (IMCC) is calculated on a combined portfolio of all the trades belonging to IMA desks. It is the sum of Ca (calculated from expected shortfall plus SES - capital on non-modellable risk factors) and default risk capital (DRC). 
• IMA capital is subject to two further adjustments.
  Adjustment 1: the average capital for the last 60 business days is multiplied by a regulatory factor Mc (minimum value of 1.5) where Mc is determined from back testing results. We use the greater of this value and today's IMA capital (this is IMAga).
  Adjustment 2: If one or more IMA desks' P&L Attribution tests return in the "Amber" zone a capital surcharge is computed. This surcharge requires the calculation of further values (SAga, SAallDesks and k).
• ACRtotal is the sum of SA capital (Cu) and IMA capital (IMAga + surcharge).
• Total capital is ACRtotal plus CVA capital (BA-CVA or SA-CVA).

Desk Capital Allocation

The Desk Capital table shows the calculated capital for each desk, along with allocated capital, and (for IMA desks) a distinction between Amber and Green desks.

To arrive at allocated capital for each desk we apply a simple scaling factor to:
a) scale the SA desks so that the sum of their capital adds up to total SA capital.
b) scale the IMA desks so that the sum of their capital adds up to total IMA capital.
A capital report is created from the results of the Capital task.