chargeChart

Generate chart of market risk capital charge values

Since R2025a

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Syntax

chargeChart(frtbsaObj)
chargeChart(frtbsaObj,Name=Value)
h = chargeChart(frtbsaObj,___)
h = chargeChart(ax,frtbsaObj,___)

Description

chargeChart(frtbsaObj) creates a chart of portfolio market risk capital charge values. Each charge value can be broken down into contributions from the default risk capital charge (DRC), residual risk add-on capital charge (RRAO), and sensitivity-based market risk capital charge (SBM). For more information on market risk capital charge, see Charge.

example

chargeChart(frtbsaObj,Name=Value) creates a chart of portfolio market risk capital charge values using optional name-value arguments.

example

h = chargeChart(frtbsaObj,___) additionally returns the figure handle h for the RRAO chart.

example

h = chargeChart(ax,frtbsaObj,___) creates the market risk capital charge chart on the axes specified by ax and returns the figure handle h for the chart.

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Examples

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Open Live Script

Use an frtbsa object and the chargeChart function to plot the total capital market risk charge for each portfolio. FRTB-SA (Standardized Approach for Fundamental Review of Trading Book) is a Basel Committee on Banking Supervision framework for calculating market capital risk requirements. This framework is based on a set of standardized risk factors.

Create frtbsa Object

Use bank format to display numeric data using two decimal places.

format bank

Define the ISDA® FRTB-SA CRIF file.

FRTBSACRIF = "FRTBSA_CRIF.csv";

Define the DRC reference date.

DrcRefCOBDate = datetime(2023,9,21);

Use frtbsa to create the FRTB-SA object.

myFRTBSA = frtbsa(FRTBSACRIF,DRCValuationDate=DrcRefCOBDate)
myFRTBSA = 
  frtbsa with properties:

                CRIF: [159×18 table]
       NumPortfolios: 2.00
        PortfolioIDs: [2×1 string]
          Portfolios: [2×1 frtbsa.Portfolio]
          Regulation: "Basel"
    DomesticCurrency: "USD"
    DRCValuationDate: 21-Sep-2023
         NumDaysYear: 365.00

Generate Charge Charts

To plot the total portfolio market risk capital charge values, use chargeChart with the Style name-value argument set to "final".

chargeChart(myFRTBSA,Style="final")

Figure contains an axes object. The axes object with title Market Capital Risk Charge Values, xlabel Portfolio IDs, ylabel USD contains an object of type bar. This object represents Total Charge.

To plot the breakdown of the market risk capital charge components, use chargeChart with the Style name-value argument set to "component". 

chargeChart(myFRTBSA,Style="component")

Figure contains an axes object. The axes object with title Market Capital Risk Charge Component Breakdown, xlabel Portfolio IDs, ylabel USD contains 3 objects of type bar. These objects represent RRAO, DRC, SBM.

To plot the breakdown of the market risk capital charge components for a subset of portfolios using the IDs name-value argument, use chargeChart with the Style name-value argument set to "component". 

chargeChart(myFRTBSA,Style="component",IDs = "P1")

Figure contains an axes object. The axes object with title Market Capital Risk Charge Component Breakdown, xlabel Portfolio IDs, ylabel USD contains 3 objects of type bar. These objects represent RRAO, DRC, SBM.

Input Arguments

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FRTB-SA object, specified as an frtbsa object. You create an frtbsa object using frtbsa.

Data Types: object

(Optional) Valid axes object in which to display the market risk capital charge chart specified as an ax object that you create using axes. The market risk capital charge chart is created on the axes specified by the optional ax argument instead of on the current axes (gca). The optional argument ax can precede any of the input argument combinations.

Data Types: object

Name-Value Arguments

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Specify optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Example: chargeChart(mySACCR,Style="final")

Style of market risk capital charge bar chart, specified as a scalar string with one of the following values:

  • "final" — Plot the bar chart for the final total of market risk capital charge values.

  • "component" — Stack the bar graphs displaying the breakdown of market risk capital charge by its components: DRC, RRAO, and SBM.

Data Types: string

List of portfolio IDs to plot, specified as a scalar string or string vector.

Data Types: string

Scalar parent in which to plot, specified as an Axes object using ax.

Data Types: object

Output Arguments

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Figure handle for the market risk capital charge chart, returned as a handle object. You can use h to access and change the properties of the chart.

References

[1] Bank for International Settlements. "MAR21 — Standardised Approach: Sensitivities-Based Method." March 2020. https://www.bis.org/basel_framework/chapter/MAR/21.htm.

[2] Bank for International Settlements. "MAR22 — Standardised Approach: Default Risk Capital Requirement." March 2020. https://www.bis.org/basel_framework/chapter/MAR/22.htm.

[3] Bank for International Settlements. "MAR23 — Standardised Approach: Residual Risk Add-On." March 2020. https://www.bis.org/basel_framework/chapter/MAR/23.htm.

[4] Bank for International Settlements. "CRE42 — Securitisation: External-Ratings-Based Approach (SEC-ERBA)." January 2023. https://www.bis.org/basel_framework/chapter/CRE/42.htm.

[5] Bank for International Settlements. "Basel Committee on Banking Supervision: Minimum Capital Requirements for Market Risk." January 2019. https://www.bis.org/bcbs/publ/d457.pdf.

Version History

Introduced in R2025a

See Also

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