The Fundamental Review of the Trading Book (FRTB) Standardised Approach introduces a risk-sensitive framework for measuring market risk. A key feature of this methodology is that it accounts for the s
Master the mathematics of FRTB capital requirements with our guide to calculating Delta, Vega, and Curvature sensitivities. We break down the regulatory formulas and clarify the critical distinction b
How a position's maturity directly impacts its capital treatment is a key rule in the FRTB Default Risk Charge (DRC) framework. To isolate this effect, we compare two portfolios where the only differe
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