FRTB-SA Analyzer

R2026b

Use FRTB-SA framework to compute and analyze market risk capital charges

Since R2026b

Description

The FRTB-SA Analyzer app provides an interface for interactive exploratory data analysis. The interface supports analysis of market risk capital charges and the associated underlying components for the sensitivities-based method (SBM), default risk charge (DRC), and residual risk add-on (RRAO).

Using the app, you can:

1. Import FRTB-SA data from an ISDA^® FRTB-SA CRIF file or an frtbsa object.

2. View and define analysis settings, including the DRC valuation date, FRTB-SA regulation, and number of days in a year.

3. Compute and analyze total market risk capital charges, SBM, DRC, and RRAO results.

4. Export results and plots for the total market risk capital charges, SBM, DRC, and RRAO.

5. Export the portfolios to an frtbsa object.

Open the FRTB-SA Analyzer App

• MATLAB^® Toolstrip: On the Apps tab, under Computational Finance, click the app icon .

• MATLAB command prompt: Enter frtbsaAnalyzer.

Examples

Compare Three Portfolios

Import an FRTB-SA CRIF file to the FRTB-SA Analyzer app, select three portfolios from the file, and then compare those three portfolios.

From the MATLAB® Toolstrip on the Apps tab, under Computational Finance, click the app icon . Alternatively, from the MATLAB Command Window, enter frtbsaAnalyzer.

From the File section of the app toolbar, click the drop-down menu under the Import button and select Import FRTB-SA CRIF File.

Use the FRTB-SA CRIF File Selector to select the FRTBSA_CRIF_Ports_1_to_6.csv FRTB-SA CRIF file, which is attached to this example in the current folder, and then click Open. The FRTB-SA CRIF file displays in the FRTB-SA CRIF tab in the Results pane of the main app window.

This CRIF file includes several DRC entries. Choose a DRC valuation date of September 21, 2023 (21-09-2023), for these entries using the DRC Valuation Date dialog box. You can type the date directly into the text box or reveal a date picker by clicking the down arrow .

Begin the analysis by clicking the Analyze Portfolios button in the Analysis section of the app toolbar. The app analyzes the first five of the six portfolios. To analyze only portfolios P2, P3, and P5, deselect the check boxes for portfolios P1 and P4 in the Portfolio Browser pane.

Redo the analysis for only portfolios P2, P3, and P5 by again clicking the Analyze Portfolios button. The app produces these results in the Plots and Results panes:

Plots Pane	Results Pane
• Capital Charge Component Plot • RRAO Component Plot • DRC Component Plot • SBM Component Plot	• FRTB-SA CRIF • Capital Charge Summary • Capital Charge Detailed Results • Residual Risk Add-On • Default Risk Capital • Sensitivity-Based Method

Customize Regulation and Number of Days per Year

Customize the regulation and number of days per year when analyzing portfolios using the FRTB-SA Analyzer app.

Open the FRTB-SA Analyzer app and import the FRTBSA_CRIF_Ports_1_to_6_CRR2.csv file, which is attached to this example.

This CRIF file adheres to the CRR2 Regulation. Specify the CRR2 Regulation, number of days per year, and maximum number of portfolios to analyze using the Options dialog box.

This CRIF file also includes several DRC entries. Choose a DRC valuation date of September 21, 2023 (21-09-2023), for these entries using the DRC Valuation Date dialog box.

Analyze all portfolios by clicking the Analyze Portfolios button.

Related Examples

• Compute Capital Risk Charge Using FRTB-SA Framework with Basel Regulations
• Compute Market Risk Capital Charge Using FRTB-SA Framework with CRR2
• Explore Market Risk Capital Charges and Associated Components Using the FRTB-SA Analyzer App

Parameters

DRC Valuation Date — Reference date for DRC calculations

no default

Reference data for DRC calculations. Set the DRC valuation date to a date before the end date of all DRC entries in the portfolios.

Options — Additional options

no default

Additional options, including regulatory jurisdiction and the number of days in a year for DRC calculations.

Analyze Portfolios — Method to analyze portfolios automatically

"Manual" (default) | "Auto"

Method to analyze portfolios, specified as "Manual" or "Auto".

• "Manual" — The app updates the Results and Plots panes only when you click the Analyze Portfolios button.

• "Auto" — The app updates the Results and Plots panes when you change your selections in the Portfolio Browser.

More About

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

The Standardized Approach for Fundamental Review of Trading Book (FRTB-SA) is a regulatory framework developed by the Basel Committee on Banking Supervision (BCBS) for standardizing 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 across financial institutions.

Version History

Introduced in R2026b