FRTB Series 8C – MAR21: Sensitivity Based Method – How to Measure
Parts A and B built the complete delta, vega and curvature aggregation formulas part of sensitivity based method (SBM) —
Market Risk, Credit Risk and Operational Risks
FRTB Series 8B – MAR21: SBM Core Mechanics, Part B: The Curvature Formula and the Three Correlation Scenarios
Part A covered the FRTB SBM’s vocabulary, which instruments face which risk charges, and the complete delta and vega formula.
FRTB Series 8A – MAR21: Vocabulary, Scope, and the Delta/Vega Formula
Article 7 introduced the Sensitivities-Based Method as the first of the Standardised Approach’s three components. This article begins actually building
FRTB Series 7 – MAR20: Standardised Approach (The Three-Component Structure)
Every foundational chapter is now behind us — RBC25 gave us the trading book boundary, MAR10 gave us the vocabulary,
FRTB Series 6B – MAR12: Strategy, Risk Management and Reporting
Part A covered MAR12, the basic definition of a trading desk, the supervisory approval process, and the first key attribute
FRTB Series 6A – MAR12: What Is a Trading Desk? Definition, Approval, and Who’s On It
We have used the term “trading desk” constantly since Article 1 — it is the level at which Internal Models
FRTB Series 5B – MAR11: Market Risk Scope, Standardised, Simplified, or Internal Models?
Part A covered what market risk is and how far its scope reaches. Part B answers a more practical question:
FRTB Series 5A – MAR11: Market Risk Scope, What Counts, and the Structural FX Exemption
We now have the boundary (RBC25) and the vocabulary (MAR10) behind us. MAR11 is where the standard finally defines market
FRTB Series 4B – MAR10: Hedging, Modellability and Model Validation Terminology
Part A of this glossary covered the foundational vocabulary and the risk metric terms — sensitivity, delta, vega, curvature, VaR
FRTB Series 4A – MAR10: Foundational and Risk Metric Terminology
With RBC25 — the trading book and banking book boundary chapter — now fully covered, the standard pauses before getting