FRM Part II · FRM Exam Part II · Fundamental Review of the Trading Book
Under the FRTB standardized approach, a bank computes the sensitivities-based method capital charge. Which set of components makes up this charge?
The sensitivities-based method capital charge is built from delta, vega and curvature risk charges, calculated for each risk class and then aggregated. Gamma and rho are not separate FRTB charges, and VaR-based measures belong to the earlier Basel 2.5 regime.
- ADelta, vega and curvature risk charges across risk classesCorrect
- BDelta, gamma and rho risk charges across risk classes
- CValue-at-risk, stressed VaR and incremental risk charge
- DDefault risk charge, residual risk add-on and stressed expected shortfall
Explanation
The sensitivities-based method sums delta, vega and curvature charges for each risk class. Gamma and rho are not FRTB standardized charges. VaR, stressed VaR and IRC belong to the Basel 2.5 framework, not the SbM.
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