• Login
  • Privacy Policy
  • Home
  • Capital/FRTB
    • FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 352)
    • FRTB Basic Approach for CVA (BA-CVA, BCBS 325)
    • FRTB Standardised Approach for CVA (SA-CVA, BCBS 325)
    • FRTB Internal Models Approach for the Trading Book (IMA-TB, BCBS 352)
  • Models
    • Papers
      • About
        • Home
        • Capital/FRTB
          • FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 352)
          • FRTB Basic Approach for CVA (BA-CVA, BCBS 325)
          • FRTB Standardised Approach for CVA (SA-CVA, BCBS 325)
          • FRTB Internal Models Approach for the Trading Book (IMA-TB, BCBS 352)
        • Models
          • Margin Period of Risk
        • Papers
          • Andersen Pykhtin Sokol 2016
        • About
          • Copyright
          • License
          • Register
        1. Capital/FRTB
          • Privacy Policy
          • Home
          • Capital/FRTB
          • Models
          • Papers
          • About

        FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 352)

        • Slides
        • Excel
        Slides
        • Standardised Approach
          • Delta and Vega Sensitivities Using Finite Shifts
            • Curvature Risk
              • Default Risk Charge
                • Residual Risk Add-On
                  • Risk Weights and Correlations for GIRR
                    • Risk Weights and Correlations for FX

                      Slides

                      Table of Contents

                      Standardised Approach
                      Delta and Vega Sensitivities Using Finite Shifts
                      Curvature Risk
                      Default Risk Charge
                      Residual Risk Add-On
                      Risk Weights and Correlations for GIRR
                      Risk Weights and Correlations for FX
                      Copyright © 2025 ModVal.org | Privacy Policy

                      Want to know more?

                      Get our brochure on Model Validation Services and get insights:

                      • Advantages of model validation
                      • Global regulatory standard coverage
                      • Benefits of the structured approach
                      • Validation steps
                      • Test types
                      • Model documentation
                      Invalid email
                      I agree to ModVal.org Privacy Policy *
                      Please agree
                      I hereby give ModVal.org permission to contact me by email *
                      Please permit