Skip to main content
This note explains how Atoti FRTB interprets the equity risk-factor definition in the Basel framework. In and (4) the equity issuer name is used. However, the issuer name is not mentioned in the description of the risk-factor in . This leads to two potential interpretations:
  1. There may be multiple risk-factors per issuer, for example, different share classes or shares traded on different exchanges.
  2. There is only a single risk-factor per issuer (modulo the Spot/Repo distinction).
The first option is closer to the description of the risk-factor in . However, in this case, given , it is unclear what the correlation should be between two spot prices representing different equities from the same issuer. In Atoti FRTB, for the Equity risk-class the same field is used for differentiating between risk-factors as for determining the correlations. Depending on the interpretation, this field could represent either the equity name (option 1) or the equity issuer name (option 2). Atoti FRTB assumes option 1, and refers to this field as the Equity Name.