BASEL REFORMS

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.

The Residual Risk Add-on (RRAO) is a component of the Advanced Standardised Approach (ASA) for market risk under the Fundamental Review of the Trading Book (FRTB). The RRAO is intended to be a simple, conservative capital charge that captures risks from instruments not fully covered by the SBM or DRC calculations.