BASEL REFORMS

This post breaks down the FRTB capital calculation for Credit Spread Risk (CSR) Curvature on a portfolio of securitised products. This specific charge is designed to capture the non-linear losses from large market shocks, a risk that traditional delta calculations do not address.

Demystify one of the FRTB's most complex components: the curvature capital charge. This guide provides a detailed, step-by-step walkthrough for a Correlation Trading Portfolio (CTP), following PRA rules from initial netting to final aggregation across all three correlation scenarios.

This report demystifies one of the most complex components of the FRTB framework: the Curvature Charge. We provide a granular, step-by-step walkthrough for a sample Credit Spread Risk (CSR) for non-securitisation portfolio, following the PRA's Advanced Standardised Approach. Understand how the entire regulatory process works, from netting initial positions to aggregating risks under stressed correlation scenarios, in a clear, easy-to-follow format.

Navigating the complexities of the FRTB framework can be challenging. Our latest guide demystifies the Equity Curvature capital calculation under the PRA's advanced standardised approach, providing a detailed, step-by-step walkthrough with practical examples and clear explanations of the rules.

When commodity prices swing violently, linear risk models fail to capture the full danger lurking in options portfolios. We break down how the FRTB Curvature Charge forces banks to measure and capitalize this explosive, non-linear risk, ensuring they are prepared for large market shocks.

This walkthrough details the FRTB Advanced Standardised Approach for FX Curvature, a method designed to capture non-linear currency risk by netting portfolio positions and then aggregating the resulting exposures.

This guide provides a step-by-step calculation of the FRTB General Interest Rate Risk (GIRR) Curvature capital requirement. Following PRA rules, it takes a sample portfolio from gross positions to the final aggregated capital charge across three correlation scenarios.