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
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.
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