The Fundamental Review of the Trading Book (FRTB) Standardised Approach introduces a risk-sensitive framework for measuring market risk. A key feature of this methodology is that it accounts for the specific volatility characteristics of different asset classes. This report provides a comparative analysis of the Weighted Sensitivities—the primary driver of capital charges—for three distinct instruments: a Short-Term Bond, a Long-Term Bond, and an Equity Position.

Master the mathematics of FRTB capital requirements with our guide to calculating Delta, Vega, and Curvature sensitivities. We break down the regulatory formulas and clarify the critical distinction between absolute and relative shifts.

Master the new Basel 3.1 capital requirements for Securities Financing Transactions (SFTs) by understanding the critical interplay between Exposure at Default (EAD), supervisory volatility adjustments, and margin periods of risk. This guide breaks down the regulatory formulas and eligibility criteria, including the impact of material positive correlation on collateral recognition, to help you navigate the upcoming changes.