Under the PRA's Advanced Standardised Approach, Delta and Vega risk calculations share the same aggregation formulas but differ fundamentally in their inputs. While Delta uses a granular approach to measure sensitivity to price changes, the simpler Vega framework leverages the Delta correlations as a foundation to measure sensitivity to volatility.

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".