• 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 GIRR
                    • Correlations - 1 of 2
                    • Correlations - 2 of 2
                  • Risk Weights and Correlations for FX
                    1. Slides

                    Risk Weights and Correlations for GIRR

                    Table of Contents

                    Risk Weights and Correlations for GIRR
                    Correlations - 1 of 2
                    Correlations - 2 of 2
                    Copyright © 2019 ModVal.org | Privacy Policy