rraoChart

Generate chart of RRAO charge values

Since R2025a

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Syntax

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

Description

rraoChart(frtbsaObj) creates a chart of portfolio residual risk add-on (RRAO) capital charge values. For more information on RRAO, see Residual Risk Add-on Capital.

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rraoChart(frtbsaObj,Name=Value) creates a chart of portfolio RRAO values using optional name-value arguments.

example

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

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h = rraoChart(ax,frtbsaObj,___) creates the RRAO chart on the axes specified by ax and returns the figure handle h for the chart.

example

Examples

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Open Live Script

Use an frtbsa object and the rraoChart function to plot the residual risk add-on (RRAO) capital charges 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 RRAO Charts

To plot the total portfolio RRAO charges, use rraoChart with the Style name-value argument set to "final".

rraoChart(myFRTBSA,Style="final")

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

To plot the breakdown of the RRAO charge components, use rraoChart with the Style name-value argument set to "component".

rraoChart(myFRTBSA,Style="component")

Figure contains an axes object. The axes object with title RRAO Charge Component Breakdown, xlabel Portfolio IDs, ylabel USD contains 2 objects of type bar. These objects represent Exotic, ORR.

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

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

Figure contains an axes object. The axes object with title RRAO Charge Component Breakdown, xlabel Portfolio IDs, ylabel USD contains 2 objects of type bar. These objects represent Exotic, ORR.

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 RRAO chart specified as an ax object that you create using axes. The RRAO 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: rraoChart(mySACCR,Style="final")

Style of RRAO bar chart, specified as a scalar string with one of the following values:

  • "final" — Plot the bar chart for the final total of RRAO charge values.

  • "component" — Stack the bar graphs displaying the breakdown of RRAO charge by its components: Exotic and ORR (other residual risk).

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 RRAO 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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