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          • FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 352)
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        1. Capital/FRTB
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        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
                    2. Risk Weights and Correlations for GIRR
                      • 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

                    Correlations - 1 of 2

                    • The delta risk correlation ρkl is set at 99% between sensitivities WSk and WSt with the same bucket (e.g. currency), the same assigned vertex, but different curves.
                    • The delta risk correlation ρkl between sensitivities WSk and WSt, within the same bucket, with a different vertex is given by
                      max e-α* Tk - Tl min[Tk;Tl] ;40%

                      where Tk is the vertex that relates to WSk and α set at 3%.

                    • Between two sensitivities WSk and WSl within the same bucket (i.e. the same currency), different vertexes and different curves, the correlation ρkl is equal to the correlation parameter specified above, multiplied by 99.90%.

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