Navigating the FRTB Default Risk Charge. This guide breaks down the PRA's framework, from key concepts like JTD and LGD to the specific calculations for securitised and non-securitised products.

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.