- 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
- The baseline regulatory capital methodology in FRTB is the sensitivity-based Standardised Approach (SA).
- The SA calculation must be performed with or without the internal model approval (IMA), in the former case as a floor to the IMA capital, and in the latter case as the primary calculation method.
- The standardised approach capital requirement is the sum of three components:
the risk charges under the sensitivities based method, the default risk charge,
and the residual risk add-on: