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Standardised Approach (Risk Class (Credit Spread (Securization (CTP, Non…
Standardised Approach
Risk Class
Interest Rate
Credit Spread
non-securization
Securization
CTP
Non-CTP
Equity
Commodity
FX
Sensi + Default + Residual
Residual Risk
Sensitivity based
Optionality
Vega: vol RF
RF (vol)
Curvature
RF(non vol)
_
Risk Factor
Bucket specific
Aggregate bucket >=0
Aggregate bucket < 0
Delta: linear pricing
RF(non-vol)
Non optionalit.
_
_
sensis to same RF netted
Weighted sensitivities (within bucket)
Bucket specific
Aggregate bucket sen. <0
Aggregate bucket sen. >=0
3 escenarios
Medium correlations
section 6
Low correlations
0.75
gg
High correlations
1.25 , cap 100%
hh
Default risk
