BASEL REFORMS

An interactive guide to the buckets and risk weights under the Advanced Standardised Approach for CSR.

Under the FRTB's Advanced Standardised Approach, the capital calculation for Delta and Vega risks follows a precise standard aggregation formula. However, the regulation includes a provision for an "alternative calculation".

The primary challenge is to select the most capital-optimal bucket for a portfolio of commodity delta positions. The choice of bucket is the key driver of the final capital requirement.