BASEL REFORMS

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.

When commodity prices swing violently, linear risk models fail to capture the full danger lurking in options portfolios. We break down how the FRTB Curvature Charge forces banks to measure and capitalize this explosive, non-linear risk, ensuring they are prepared for large market shocks.

This walkthrough details the FRTB Advanced Standardised Approach for FX Curvature, a method designed to capture non-linear currency risk by netting portfolio positions and then aggregating the resulting exposures.