Under the FRTB Standardised Approach, the intra-bucket capital charge is the highest output from three prescribed correlation scenarios: Low, Medium, and High. This interactive guide isolates this cal
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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