FRTB-SA (Standardized Approach for Fundamental Review of Trading Book)

R2026b
Calculate market risk capital requirements to cover potential losses from their trading book activities

FRTB-SA is a Basel Committee on Banking Supervision regulatory framework. It standardizes the calculation of capital requirements for risk factors. As part of the Basel III framework, it is globally implemented to ensure uniformity in calculating capital requirements for risk factors across financial institutions.

The FRTB-SA calculates the sensitivities of the trading book positions by using the sensitivity-based method (SBM), default risk charge (DRC), residual risk add-on (RRAO), and total capital market risk.

For the FRTB-SA regulatory framework, create the frtbsa object and then use the sbm, drc, rrao, charge, sbmChart, drcChart, rraoChart, and chargeChart functions.

The FRTB-SA Analyzer app uses many of these functions to enable you to characterize your market risk interactively. However, for full flexibility in your workflow, call the functions at the command line.

Apps

FRTB-SA AnalyzerUse FRTB-SA framework to compute and analyze market risk capital charges (Since R2026b)

Objects

frtbsaCreate frtbsa object to support ISDA FRTB-SA workflows for calculating capital market risk charge (Since R2024b)

Functions

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sbmCalculate sensitivity-based method (SBM) charge results for each portfolio (Since R2024b)
drcCalculate default risk capital (DRC) charge results for each portfolio (Since R2024b)
rraoCalculate residual risk add-on (RRAO) charge results for each portfolio (Since R2024b)
chargeCalculate total capital market risk charge results for each portfolio (Since R2024b)
chargeChartGenerate chart of market risk capital charge values (Since R2025a)
drcChartGenerate chart of DRC charge values (Since R2025a)
rraoChartGenerate chart of RRAO charge values (Since R2025a)
sbmChartGenerate chart of SBM charge values (Since R2025a)

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