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          • FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 352)
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        1. Capital/FRTB
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        FRTB Internal Models Approach for the Trading Book (IMA-TB, BCBS 352)

        • Slides
        • Excel
        Slides
        • IMA Overview
          • Internal Models Approach - Introduction
          • Aggregate capital charge for market risk
          • Approved desk charge
          • Identification of modellable risk factors
          • Unapproved desk charge
        • IMA Desk Approval
          • IMCC Calculation
            • Stressed ES (SES) Calculation
              • Default Risk Charge (DRC) Calculation
                • Multiplication factor Mc
                  1. Slides
                  2. IMA Overview
                    • IMA Overview
                    • IMA Desk Approval
                    • IMCC Calculation
                    • Stressed ES (SES) Calculation
                    • Default Risk Charge (DRC) Calculation
                    • Multiplication factor Mc

                  Unapproved desk charge

                  The regulatory capital charge associated with risks from unapproved desks (Cu) is calculated as:

                  Cu = ∑ l=1N′ SMl

                  where:

                  • SMi is the standartized charge for desk l of N′ unapproved desk.
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