BASEL REFORMS

This tool provides an interactive way to understand how market risk capital for equities works under the FRTB's Advanced Standardised Approach. It allows you to see how different portfolio positions can lead to vastly different capital requirements across the 13 prescribed 'buckets' for equity risk.

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.