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          • FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 352)
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          • FRTB Standardised Approach for CVA (SA-CVA, BCBS 325)
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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

                    Risk Weights and Correlations for GIRR

                    • Under the Sensitivity-based method, each bucket represents an individual currency exposure to GIRR.



                      Vertex

                      Risk Weight



                      0.25 year

                      2.4%



                      0.5 year

                      2.4%



                      1 year

                      2.25%



                      2 year

                      1.88%



                      3 year

                      1.73%



                      5 year

                      1.5%



                      10 year

                      1.5%



                      15 year

                      1.5%



                      20 year

                      1.5%



                      30 year

                      1.5%



                    • For selected currencies, the above risk weights may be divided by the square root of 2 at the discretion of the bank.

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