BASEL REFORMS

This post breaks down the FRTB capital calculation for Credit Spread Risk (CSR) Curvature on a portfolio of securitised products. This specific charge is designed to capture the non-linear losses from large market shocks, a risk that traditional delta calculations do not address.

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.