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For SBM, are sensitivities calculated in the risk engine or can they be sourced from front office (mapped to FRTB sensitivities using Jacobian)?

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  • $\begingroup$ You mean, the FO system calculates sensitivities to IR futures, but FRTB wants sensitivies to swap rates? Or just a different list of tenors for swap rates? $\endgroup$ Aug 31, 2023 at 22:40
  • $\begingroup$ Both - although I think FRTB sensitivities are based on zero coupon rates. Also FO tenors are more granular than FRTB $\endgroup$
    – Frank Cho
    Sep 1, 2023 at 1:02
  • $\begingroup$ Can you develop your question further? And what do you mean by using a Jacobian in this context? $\endgroup$
    – SuavestArt
    Sep 1, 2023 at 1:34
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    $\begingroup$ @SuavestArt quant.stackexchange.com/questions/60059/… $\endgroup$ Sep 1, 2023 at 2:11
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    $\begingroup$ As you're probably aware, isda.org/a/hvJgE/… pp29-220 say "Industry proposes that in cases similar to the below examples, a regulatory approval would not be required: A. Alternative bumping methodologies under finite difference schemes.. SA sensitivities with SA tenors obtained via Jacobian transform from different tenors used for P&L reporting or Risk management ". But was there a response to ISDA? $\endgroup$ Sep 1, 2023 at 2:33

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