BASEL REFORMS

Step by step guide for Commodity Vega capital calculation.

This detailed walkthrough demonstrates how to calculate the Vega risk capital requirement for a portfolio of CSR securitisations under the FRTB's Advanced Standardised Approach. We apply the Sensitivities-Based Method to systematically aggregate individual position risks, using prescribed regulatory correlations to determine a final, robust capital figure.

This detailed walkthrough demonstrates how to calculate the Vega risk capital requirement for a portfolio of CSR securitisations under the FRTB's Advanced Standardised Approach. We apply the Sensitivities-Based Method to systematically aggregate individual position risks, using prescribed regulatory correlations to determine a final, robust capital figure.