This post breaks down the FRTB capital calculation for Credit Spread Risk (CSR) Curvature on a portfolio of securitised products. This specific charge is designed to capture the non-linear losses from
Demystify one of the FRTB's most complex components: the curvature capital charge. This guide provides a detailed, step-by-step walkthrough for a Correlation Trading Portfolio (CTP), following PRA rul
Navigating the complexities of the FRTB framework can be challenging. Our latest guide demystifies the Equity Curvature capital calculation under the PRA's advanced standardised approach, providing a
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