FRTB Standardized Approach - High Level Overview
FRTB-SA:
Key Terminology
Risk Classes - Buckets - Measures - Risk Factors
Comparison with Credit Risk
Framework
Sensitivity Based Method | Delta & Vega Risk Charge
Curvature Risk Charge
Correlation Scenarios
Default Risk Charge (DRC)
Residual Risk Add on (RRAO)
15 окт 2024
