BASEL REFORMS

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 article provides an explanation how delta correlation approach is implemented in vega calculations for CSR.

Step by step walkthrough for FX Vega capital charge calculation.