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Documentation Index

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rrao
DescriptionThe Residual risk add-on, RRAO
Variationsincremental, pro_rata, euler
Reference[MAR23.8]
FormulaRRAO=Addon⋅GrossNotional\displaystyle RRAO = Addon \cdot Gross Notional
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.