categories (level 1)

> Post-FRTB – Alternative Standardised Approach Regulation (EU) 575/2013, Part Three, Title IV, Chapter 1a, Section 2 – Articles 325d-325k (sensitivity-based method, risk class equity risk) > Post-FRTB – Alternative internal model approach Regulation (EU) 575/2013, Part Three, Title IV, Chapter 1b – Articles 325az-325bp (expected shortfall/SSRM component)

The risk of loss on financial instruments due to the deterioration of the creditworthiness of the issuer or of the issuer of reference assets or underlying assets. This excludes default risk. Under FRTB this risk is treated as part of credit spread risk.

Relevant legal references for capital treatment Migration risk > Pre-FRTB – internal models

Regulation (EU) 575/2013, Part Three, Title IV, Chapter 5, Section 4 – Articles 372-376 > Post-FRTB – Alternative Standardised Approach Regulation (EU) 575/2013, Part Three, Title IV, Chapter 1a, Section 2 – Articles 325d-325k > Post-FRTB – Alternative internal model approach Regulation (EU) 575/2013, Part Three, Title IV, Chapter 1b – Articles 325az-325bp

The risk of loss on financial instruments due to the default of the issuers of those financial instruments or of the issuers of reference or of underlying assets. Also covers sovereign risk, i.e. risk of losses due to the default of sovereign exposures.

Default risk Relevant legal references for capital treatment

(trading book) > Pre-FRTB – internal models Regulation (EU) 575/2013, Part Three, Title IV, Chapter 5 – Articles 372-376 ( ‘ Incremental default risk charge ’ -component) > Post-FRTB – Alternative Standardised Approach Regulation (EU) 575/2013, Part Three, Title IV, Chapter 1a, Section 5 – Articles 325v-325ad Market risk sub- Legal references/Definitions⁶³

1. Oversigt

1.1 Referencer

1.2 Identificerede krav

1.3 Relaterede standarder

2. Identificerede krav

3. Relaterede standarder

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