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I think that you might also want to take a look at Basel Committee’s paper “Minimum capital requirements for market risk” that includes the new Basel III FRTB SA (in particular RRAO part) and IMA (in particular NMRF part) charge calculation methods. https://www.bis.org/bcbs/publ/d457.pdf


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I assume this is UK specific as RNIV is a PRA concept. You can’t recognise diversification as per the requirements which are detailed in the ss13/13: see section 2. https://www.bankofengland.co.uk/-/media/boe/files/prudential-regulation/supervisory-statement/2017/ss1313update The EBA adapted the above framework for the banks under its supervision and ...


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