MP Capital - FRTB Calculator Results

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Total Capital Requirement

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Risk-Weighted Assets

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Capital Ratio

8.0%

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Risk Assessment Summary

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Equities

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Fixed Income

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Foreign Exchange

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Commodities

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Methodology & Framework

This calculation uses the Simplified Standardized Approach under Basel III FRTB framework. The approach calculates market risk capital requirements across four main asset classes:

Risk Components

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\n Delta Risk: Linear price risk from underlying asset price movements\n
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\n Vega Risk: Risk from changes in implied volatility\n
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\n Curvature Risk: Non-linear price risk (gamma effects)\n
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Regulatory Standards

Risk weights are applied according to Basel III standards, with correlation adjustments and stress scenarios incorporated for each asset class. This ensures compliance with international banking regulations.

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\n Equities\n

Required inputs: Instrument name, Notional amount (USD), Delta (0-1), Vega (USD), Curvature risk (USD), Correlation scenarios (0-1)

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\n Correlation Scenarios:\n \n

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\n Fixed Income\n

Required inputs: Instrument name, Notional amount (USD), Duration (years), Convexity, Credit spread (decimal), Yield curve shocks (comma-separated decimals)

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\n Yield Curve Shocks:\n \n

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\n Foreign Exchange\n

Required inputs: Currency pair (e.g., EURUSD), Notional amount (USD), Delta (0-1), Vega (USD), Volatility shocks (comma-separated decimals)

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\n Volatility Shocks:\n \n

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\n Commodities\n

Required inputs: Instrument name (e.g., WTI_OIL), Notional amount (USD), Delta (0-1), Vega (USD), Price shocks (comma-separated decimals)

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\n Price Shocks:\n \n

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Upload Excel File

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Drop your Excel file here

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Excel Template Format

Download the template to see the required format for uploading your trading book positions:

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File processed successfully!

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Load Sample Data

\n Load pre-configured sample trading book positions to see how the FRTB calculator works. \n This includes positions across all four asset classes with realistic market data.\n

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Calculating FRTB Risk

Processing trading book positions...

Applying Basel III FRTB framework

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Calculation Results

\n \n View Detailed Results Dashboard\n \n

Risk Assessment Summary

Equities

Fixed Income

Foreign Exchange

Commodities

Methodology & Framework

Risk Components

Regulatory Standards

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Upload Excel File

Excel Template Format

Load Sample Data

Calculating FRTB Risk

Calculation Results

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\n Equities\n

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\n Fixed Income\n

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\n Foreign Exchange\n

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\n Commodities\n

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