FRTB Accelerator Cube GuideSBM Risk Charge
| Description | The sensitivities based risk charge, as if all positions are under SA |
|---|---|
| Variations |
|
| Reference | [MAR21.7] |
The measure computes worst of the three correlations scenarios and returns either High Risk Charge, Low Risk Charge or Medium Risk Charge.
We recommend applying a filter on [Booking].[FRTB Model] equal to “SA” to limit the scope to positions officially under “SA” approach.
See also
- CSR Sec non-CTP Risk Charge
- GIRR Risk Charge
- FX Risk Charge
- CSR non-Sec Risk Charge
- Commodity Risk Charge
- CSR Sec CTP Risk Charge
- Medium Risk Charge
- Equity Risk Charge