BASEL REFORMS

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.

This report demystifies one of the most complex components of the FRTB framework: the Curvature Charge. We provide a granular, step-by-step walkthrough for a sample Credit Spread Risk (CSR) for non-securitisation portfolio, following the PRA's Advanced Standardised Approach. Understand how the entire regulatory process works, from netting initial positions to aggregating risks under stressed correlation scenarios, in a clear, easy-to-follow format.

Navigating the complexities of the FRTB framework can be challenging. Our latest guide demystifies the Equity Curvature capital calculation under the PRA's advanced standardised approach, providing a detailed, step-by-step walkthrough with practical examples and clear explanations of the rules.