Per-risk-class SBM risk charge measures (Commodity, CSR, Equity, FX, GIRR, Crypto 2a) and the Portfolio, SA, and SBM Risk Charge aggregation measures that sum them under Basel MAR21.
Formula∑rc∈riskclassesRiskCharge_MediumCorrrcThis measure is a simple sum of risk charges across risk classes / sensitivity types for ‘Medium correlations’ scenario.
FormulaPortfolio Risk Charge=m×SBM+RRAO+DRCsawhere m is the sa.sbm-risk-charge.multiplier parameter, 1.0 unless the parameter set overrides it. See SBM Risk Charge (transitional).
The Portfolio Risk Charge measure is evaluated with offsetting between IRT and non-IRT desks.
For standalone evaluation of IRT and non-IRT desks, use the SA measure or add the IRT Desk hierarchy to the query.
The correlation scenario used for the SBM Risk Charge
Reference
This string-valued measure indicates which correlation scenario had the highest Risk Charge and hence was selected for the SBM Risk Charge. It can take values “low”, “medium” and “high”.If the Correlation Scenario hierarchy is used, the scenario can be fixed to High, Low, Medium or reference.
This measure equals SBM Risk Charge multiplied by the sa.sbm-risk-charge.multiplierFRTBParameters parameter, resolved for the current AsOfDate and parameter set. The SBM Risk Charge measure itself is unaffected.The multiplier defaults to 1.0 (no-op). The EU-DA parameter set sets it to 0.9.Portfolio Risk Charge and SA are built from the multiplied value. A parameter set that overrides the multiplier therefore sees the reduction in its capital requirement.