FRTB Internal Models Approach for the Trading Book (IMA-TB, BCBS 352)

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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.