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
This report demystifies one of the most complex components of the FRTB framework: the Curvature Charge. We provide a granular, step-by-step walkthrough for a sample Credit Spread Risk (CSR) for non-se
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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