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
Navigating the FRTB Default Risk Charge. This guide breaks down the PRA's framework, from key concepts like JTD and LGD to the specific calculations for securitised and non-securitised products.
The FRTB framework introduces a curvature risk charge to capture the non-linear risks of options, requiring separate calculations for upward and downward shocks to account for both long and short gamm
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