Case study
VaR, expected shortfall and FRTB standardised capital by desk, live
For heads of market risk and risk technology: full-portfolio VaR and expected shortfall re-aggregated on demand on the P&L vectors the bank already produces, and FRTB standardised capital by desk from the sensitivities, recomputed as the book changes.
Case study, 6 pages, PDF. Sent on request, to a company email.
What it covers
- Any desk, book, trader or underlying recomputed in real time, not read from an overnight cube
- FRTB standardised capital by desk and risk class ahead of 2027; your models stay in place
- The attribution tests run on the same vectors for the desks that go to internal models
