BASEL REFORMS

Step by step guide for Commodity Vega capital calculation.

This detailed walkthrough demonstrates how to calculate the Vega risk capital requirement for a portfolio of CSR securitisations under the FRTB's Advanced Standardised Approach. We apply the Sensitivities-Based Method to systematically aggregate individual position risks, using prescribed regulatory correlations to determine a final, robust capital figure.

This detailed walkthrough demonstrates how to calculate the Vega risk capital requirement for a portfolio of CSR securitisations under the FRTB's Advanced Standardised Approach. We apply the Sensitivities-Based Method to systematically aggregate individual position risks, using prescribed regulatory correlations to determine a final, robust capital figure.

This detailed walkthrough demonstrates how to calculate the Vega risk capital requirement for a portfolio of CSR securitisations under the FRTB's Advanced Standardised Approach. We apply the Sensitivities-Based Method to systematically aggregate individual position risks, using prescribed regulatory correlations to determine a final, robust capital figure.

Step by step walkthrough for FX Vega capital charge calculation.

This guide breaks down the complex process of calculating regulatory capital for Equity Vega risk under the FRTB's Advanced Standardised Approach. We provide a practical, step-by-step walkthrough of the Sensitivities-Based Method, showing how individual option risks are aggregated using supervisory weights and correlations to arrive at a final capital charge.

This article breaks down the FRTB Advanced Standardised Approach for the GIRR Vega capital charge. Follow our step-by-step guide, which uses a practical portfolio example to show how to apply regulatory risk weights and correlations. Understand the key drivers of the final capital requirement by seeing how the rules are applied in practice across three scenarios.