Main Content

FRTB-SA (Standardized Approach for Fundamental Review of Trading Book)

Calculate market risk capital requirements to cover potential losses from their trading book activities

FRTB-SA is a Basel Committee on Banking Supervision regulatory framework. It standardizes the calculation of capital requirements for risk factors. As part of the Basel III framework, it is globally implemented to ensure uniformity in calculating capital requirements for risk factors across financial institutions.

Key components of FRTB-SA include:

  • Sensitivity-based method (SBM) — A method to calculate capital requirements based on the sensitivities of the trading book positions to various risk factors, such as interest rates, credit spreads, equity prices, and foreign exchange rates.

  • Default risk charge (DRC) — A capital charge for the risk of default associated with debt and equity positions in the trading book.

  • Residual risk add-on (RRAO) — An additional capital charge for risks not captured by the SBM or DRC, such as basis risk, correlation risk, and other residual risks.

For the FRTB-SA regulatory framework, create the frtbsa object and then use the associated functions: sbm, drc, rrao, and charge.

Objects

frtbsaCreate frtbsa object to support ISDA FRTB-SA workflows for calculating capital market risk charge (Since R2024b)

Functions

expand all

sbmCalculate sensitivity-based method (SBM) charge results for each portfolio (Since R2024b)
drcCalculate default risk capital (DRC) charge results for each portfolio (Since R2024b)
rraoCalculate residual risk add-on (RRAO) charge results for each portfolio (Since R2024b)
chargeCalculate total capital market risk charge results for each portfolio (Since R2024b)

Topics