Minimum Capital Required for Market Risk

Choose an option that works for you

  Risk Class Delta Risk Charge Vega Risk Curvature
Non-Securitisations General interest rate risk (GIRR)
Credit spread risk (CSR)
Equity risk
Commodity risk
Foreign exchange risk
Securitisation (non CTP) Credit spread risk (CSR)
Correlation trading portfolio Credit spread risk (CSR)
Default Risk