StandardisedApproach
Measures for the Standardised Approach (SA) in FRTBCombinedCube, covering SBM sensitivities, delta, vega, and curvature risk charges across all risk classes, DRC SA, and RRAO
All measures in this section compute charges as if all positions were under SA, regardless of their actual capital treatment.
Please note, that measures in this folder disregard the actual capital treatment of individual positions and compute charges as if all positions are under SA. We recommend applying a filter on FRTB Model equal to “SA” to limit the scope to positions officially under the “SA” approach.