• 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:

  $$s_{k,r_t}=\frac{V_i\left(r_t+0.0001,c{s}_t\right)-V_i\left(r_t,c{s}_t\right)}{0.0001}$$

  where $r_t$ is the risk-free yield curve at vertex $t$, $c{s}_t$ is the credit spread curve at vertex $t$, $V_i$ is the market value of the instrument $i$ as a function of the risk-free interest rate curve and credit spread curve.

Excel

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