Risk management / market-risk capital
Capital is
a structure.
Find the room
to move.
Evaluate permitted changes to your trading book against a defined capital model, available hedges, and desk limits.
Delta starts with the book’s sensitivities to prescribed underlying risk factors.
From sensitivities to a decision
A layered view
of the book.
Capital-aware decisions connect risk sensitivities, aggregation rules, and the positions you are able to change.
Specify the calculation
Agree the applicable model, risk classes, parameters, and independent reference.
Define the feasible choices
Set the available hedges, trading bounds, and exposure limits.
Compare candidates
Review the calculated charge and risk effects against the unchanged book.
The review / capital and risk together
A candidate is useful
inside the limits.
Hold the calculation constant.
Compare baseline and candidate using the same model and parameters.
Read the changed exposures.
Inspect the sensitivities and risk effects behind the proposed position.
Require a feasible result.
Apply the agreed trading bounds and desk limits before accepting a proposal.
Scope & evaluation
This page describes an evaluation workflow for the sensitivities-based method (SBM), which is one component of the FRTB standardised approach. It does not implement a regulatory calculator or establish regulatory compliance. Capital effects depend on the actual book and applicable rules. See the Basel Framework’s SBM specification.
Work with Asymmetry