• The FRTB document provides a definition of the instruments bearing residual risk, as well as a non-exhaustive list of such instruments.
• The formal criteria specify that residual risk is present for instruments with an exotic underlying, that is instruments with the underlying exposure which is not within the scope of delta, vega or curvature risk treatment in any risk class.
• Examples: longevity risk, weather, natural disasters, future realized volatility.

Excel

RegisterorLoginto see the example. The registration is free.