BASEL REFORMS

Navigating the complexities of market risk can be a challenge. In this article, we break down the calculation of delta risk for a Credit Spread Risk securitization portfolio using the Advanced Standardised Approach, offering a clear, step-by-step guide to understanding this crucial regulatory framework.

This article provides a detailed, step-by-step guide to calculating the delta capital charge for a portfolio of ACTP securitisations under the FRTB Advanced Standardised Approach. We break down the process, from identifying risk factors to applying regulatory weights and correlations, to arrive at the final capital requirement using the PRA's prescribed methodology.

Navigating the complexities of the FRTB framework can be challenging. This article breaks down the Advanced Standardised Approach (ASA) into a clear, step-by-step guide for calculating the Credit Spread Risk (CSR) delta capital requirement for non-securitisations. Follow this worked example to see how regulatory formulas are applied in practice.

This guide provides a detailed walkthrough of the FRTB Advanced Standardised Approach (ASA) for calculating equity delta capital. Follow our step-by-step example to understand how sensitivities, risk weights, and correlations are used to determine the final own funds requirement under the PRA's framework.

This post provides a clear, step-by-step guide to calculating the market risk capital requirement for FX delta positions under the FRTB's Advanced Standardised Approach. We break down the complex regulatory formulas into a practical, easy-to-follow example, showing how to get from initial trade sensitivities to the final capital charge. This is a must-read for any risk professional navigating the new framework.

Calculating the GIRR Delta capital charge under FRTB's standardised approach is a sequential process. It begins by applying regulatory risk weights to interest rate sensitivities. These weighted sensitivities are then aggregated, first within each currency and then across all currencies, using a set of prescribed correlations. To ensure a conservative outcome, this entire aggregation is performed three times under Medium, High, and Low correlation scenarios, with the final ca

This article provides a detailed, step-by-step guide to calculating the commodity delta capital charge under the FRTB's Advanced Standardised Approach. We will walk through a practical example, referencing the specific PRA articles that govern each stage of the process, from identifying risk factors to the final aggregation across correlation scenarios.