The standardised approach (SA) market risk capital charge calculation method is to come into effect from 2023 onwards. The calculation of market risk capital charge using the standardised method consists of determining a capital charge per risk class using the Sensitivities Based Approach (SBA) and aggregating them to determine the overall capital charge for market risk. To this are added the charge for the risk of default, as well as the additional charge for the residual risk to arrive at the minimum capital requirement as per the standardised approach.
Associate Director - Market Risk Analytics & FRTB
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