| Description | The Residual risk add-on, RRAO |
| Variations | incremental, pro_rata, euler |
| Reference | [MAR23.8] |
| Formula |
Residual risk add on
rrao
Residual Risk Add On is computed for trades bearing residual risk as a percentage of gross notional.
Trades bearing residual risk can be filtered using hierarchy Risk Classes value “RRAO”.
Please note, that this measure disregards the actual capital treatment of individual positions and computes 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.