FRTB for Excel
Access the power of cloudhosted FRTB analytics directly from spreadsheets
For financial firms implementing FRTB, we offer a free trial
CLARUS Excel Workbooks or Addin
FRTB NonModellable Risk Factor analysis
Easy to Trial, Purchase and Start Using
FRTB Standardised Approach (coming soon)
Learn about FRTB NMRF
Latest Posts

Aug, 30
FRTB NonModellable Risk Factor Analysis
The FRTB Internal Model Approach requires risk factors to be checked for modellability Nonmodellable risk factors are then subject to stressed capital addons Modellable and nonmodellable is determined by applying a specific test Clarus has the Data and Analytics to perform such a test We make this available in our FRTB for Excel product Making […]
Read moreAug, 8FRTB – Simplified Standardised Approach
The BCBS recently published a Consultative document on a ‘Simplified alternative to the standardised approach to market risk capital requirements” and in this article I will look at the detail of this. Standardised Approach (SA) BIS provides the following diagram to summarise the Standardised Approach. (For a recap of the SA see FRTB – What […]
Read more 
Mar, 28
Microservices: FRTB Modellable Risk Factors
FRTB regulations specify that nonmodellable risk factors are subject to stressed capital addons For a risk factor to be modellable it must pass a specific test for continuously available real prices The Clarus API provides functions for the risk factor modellability test for OTC Derivatives These functions are very easy to call from many popular languages, […]
Read moreFeb, 14FRTB Curvature Risk Charge
Various risk 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 changes to large input shocks. We explain the calculations involved. For Rates products, the Curvature Risk Charge is not split by tenor […]
Read more 
Feb, 7
FRTB Vega Risk Charge
Various risk charges must be calculated under the Standardised Approach of the FRTB. These risk charges are split into Delta, Vega and Curvature. Vega Risk Charge is complicated to calculate as we must build several covariance matrices. We provide a stepbystep explanation of all of the calculations involved. We use Excel throughout to calculate and illustrate the […]
Read moreDec, 13FRTB – Modellable Risk Factors and NonModellable
Following on from my article FRTB – Internal Models or Standardised Approach, I wanted to look at specific component of the Internal Model Approach (IMA), namely the fact that all risk factors are subject to a Modellable or Nonmodellable requirement and nonmodellable risk factors result in a higher capital charge. Background In January 2016, the Basel Committee on […]
Read more 
Nov, 30
FRTB SA – Residual Risk AddOn
Following on from my article FRTB – The Default Risk Charge, I wanted to look at another specific component of the Standard Approach, namely the Residual Risk AddOn for instruments with nonlinear payoffs. Background In January 2016, the Basel Committee on Banking Supervision (BCBS) published its Standards for Minimum Capital Requirements for Market Risk; also known as the […]
Read moreNov, 22FRTB – Excel Calculator for the Standardised Approach
What is the market risk capital charge for a bank trading an interest rate position? We calculate some examples using the Sensitivitiesbased Method under FRTB standards We find that a standalone 10y USD IRS results in a market risk capital charge of nearly 10% of the swap notional Fundamental Review of the Trading Book Following […]
Read more 
Nov, 2
FRTB – The Default Risk Charge
Following on from my articles, Fundamental Review of the Trading Book and Internal Models or Standardised Approach, I wanted to take a look at a specific component of the Market Risk Capital, namely the Default Risk Charge as required under the Standardised Approach. Background In January 2016, the Basel Committee on Banking Supervision (BCBS) published its Standards for Minimum […]
Read moreJun, 21FRTB – Internal Models or Standardised Approach?
Following on from my article on Fundamental Review of the Trading Book – What You Need to Know, I wanted to look at the pros and cons of the Internal Models Approach over the Standardised Approach. Background In January 2016, the Basel Committee on Banking Supervision (BCBS) published its Standards for Minimum Capital Requirements for Market Risk; also known […]
Read more