FRTB Curvature Risk Charge

Various┬árisk charges must be calculated under the Standardised Approach of the FRTB. These risk charges are split into Delta, Vega and Curvature. Curvature Risk Charge is complicated to calculate as we must record MTM┬áchanges to large input shocks. We explain the calculations involved. For Rates products, the Curvature Risk Charge is not split by tenor […]