- Delta and Vega Sensitivities Using Finite Shifts
Default Risk Charge
Residual Risk Add-On
Risk Weights and Correlations for GIRR
Risk Weights and Correlations for FX
Regulatory and internal model validation services from CompatibL
- The definitions of Delta and Vega sensitivities provided in the final FRTB framework reference specific shift magnitudes: 1bp for the rate and spread like factors, and 1% for the asset like factors and FX.
- For example, GIRR Delta is defined as:
where is the risk-free yield curve at vertex , is the credit spread curve at vertex , is the market value of the instrument as a function of the risk-free interest rate curve and credit spread curve.