Calculating the GIRR Delta capital charge under FRTB's standardised approach is a sequential process. It begins by applying regulatory risk weights to interest rate sensitivities. These weighted sensitivities are then aggregated, first within each currency and then across all currencies, using a set of prescribed correlations. To ensure a conservative outcome, this entire aggregation is performed three times under Medium, High, and Low correlation scenarios, with the final ca

This article provides a detailed, step-by-step guide to calculating the commodity delta capital charge under the FRTB's Advanced Standardised Approach. We will walk through a practical example, referencing the specific PRA articles that govern each stage of the process, from identifying risk factors to the final aggregation across correlation scenarios.