FRTB Series 16 – MAR21: Vega Risk Across Asset Classes: Buckets, Risk Weights and Correlations
Articles 9 through 15 built delta risk one risk class at a time, each with its own dedicated bucket structure,
FRTB
FRTB Series 15 – MAR21: Foreign Exchange Risk: Risk Factors, Buckets and Correlations
With commodity risk complete, this article covers the sixth and final individual delta risk class: foreign exchange risk. The bucket,
FRTB Series 14 – MAR21: Commodity Risk: Buckets, Risk Weights and Correlations
With equity risk complete, we move to the fifth risk class: commodity risk. This is the risk class with the
FRTB Series 13 – MAR21: Equity Risk – Buckets, Risk Weights and Correlations
With credit spread risk complete across Articles 10, 11 and 12, we move to the fourth risk class: equity risk.
FRTB Series 12 – MAR21: Credit Spread Risk — Securitizations (Non-CTP)
Article 11 covered the correlation trading portfolio. This article, and Part B that follows it, cover the other securitisation category:
FRTB Series 11 – MAR21: Credit Spread Risk (CSR) Securitization CTP
Article 10 built the full non-securitisation credit spread risk framework. This article covers the first of two securitisation-related CSR risk
FRTB Series 10 – MAR21: Credit Spread Risk (CSR) Non-Securitization
With GIRR fully built across Articles 9A and 9B, we move to the second risk class: credit spread risk on
FRTB Series 9B – MAR21: GIRR Buckets, Risk Weights and Correlation
Part A defined what counts as a GIRR risk factor. This part supplies the actual numbers: the bucket structure, the
FRTB Series 9A -MAR21: GIRR Risk Factors and Sensitivities
Articles 8A through 8D built the complete SBM engine — the formulas, the sensitivity mechanics, the look-through rules. From here,
FRTB Series 8D – MAR21: The Look-Through Approach and Fund Equity Treatment
This is the final part of our FRTB four-part look at SBM core mechanics. Parts A through C built the