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- Margin Period of Risk
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- Andersen Pykhtin Sokol 2016
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FRTB Internal Models Approach for the Trading Book (IMA-TB, BCBS 352)

Slides
Excel

IMA Overview
IMA Desk Approval
IMCC Calculation
Stressed ES (SES) Calculation
Default Risk Charge (DRC) Calculation
Multiplication factor Mc

Slides
IMA Overview

Unapproved desk charge

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

C_{u} = \sum_{l = 1}^{N^{'}} S M_{l}

where:

$S M_{i}$ is the standartized charge for desk $l$ of $N^{'}$ unapproved desk.

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