SBM Risk Charge

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 CTP Risk Charge
• CSR Sec non-CTP Risk Charge
• CSR non-Sec Risk Charge
• Commodity Risk Charge
• Equity Risk Charge
• FX Risk Charge
• GIRR Risk Charge
• Medium Risk Charge