Board sign-off of the risk appetite statement
Chapter 1 · Ch 1
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Parametric VaR limitations for FX options
Chapter 2 · Ch 2
FRTB SA vs IMA desk election
Chapter 5 · Ch 5
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Board sign-off of the risk-appetite statement
UK PRA requires board sign-off; US SEC does not prescribe a formal RAS. ECB has indicated expectations for formalised risk appetite frameworks in supervisory submissions.
Parametric (Variance-Covariance, Delta-Normal) VaR
Portfolio loss at a given confidence level (e.g., 99 %) under the assumption of multivariate normality and linear exposures.
FRTB expected-shortfall capital measure
A ten-day VaR or FRTB expected-shortfall measure is used for capital purposes — not as the daily operating limit.