Navigation : Getting started - About - CRR2 support - Glossary Tutorials - Data Health Check - Tips for Validating the Calculations - Viewing QIS Numbers - Workaround for deadlock issue when attempting to create partitions for reference stores Cube reference - Measures -- StandardisedApproach - Dimensions Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 Capital Surcharge ima Description The capital surcharge Variations euler incremental spot Reference [MAR33.45] Formula $$Capital\ surcharge=k \cdot max\left \{ 0, SA_{G,A}-IMA_{G,A}\right \}$$ See also ACR CA CA-GA CU IMA-GA IMADRC Portfolio Risk Charge RWA Residual Risk Add On SA-GA Getting started
FRTB Accelerator Reference Guide v2.4.0