FRM Part II · FRM Exam Part II · Fundamental Review of the Trading Book
Under the FRTB standardized approach, the sensitivities-based method (SBM) capital charge is built from which three components, calculated for each risk class?
The sensitivities-based method uses delta, vega and curvature risk charges for each risk class. Default risk charge and residual risk add-on are separate standardized approach components, while gamma, rho and theta are not part of the SBM structure.
- ADelta risk, vega risk and curvature riskCorrect
- BDelta risk, gamma risk and rho risk
- CDefault risk, residual risk add-on and delta risk
- DDelta risk, theta risk and vega risk
Explanation
The SBM aggregates delta, vega and curvature charges within each risk class. Gamma, rho and theta are not SBM components. Default risk charge and residual risk add-on are separate components of the standardized approach, outside the SBM.
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