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
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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