- Standardised Approach
Delta and Vega Sensitivities Using Finite Shifts
Default Risk Charge
Residual Risk Add-On
Risk Weights and Correlations for GIRR
Risk Weights and Correlations for FX
Regulatory and internal model validation services from CompatibL
- Aggregate capital requirements for delta, vega and curvature are
calculated as a sum of risk class capital requirements:
- Instruments without optionality are not subject to vega risk and curvature risk, while each instrument with optionality is subject to vega risk and curvature risk.
- A non-exhaustive list of example instruments with optionality provided in the FRTB document includes calls, puts, caps, floors, swaptions, barrier options and exotic options.