Risk glossary

 

Sensitivities-based approach (SBA)

The sensitivities-based approach is the standardised method to calculate risk capital under the Fundamental Review of the Trading Book. The new standardised approach was adopted in January 2016 by the Basel Committee on Banking Supervision as the homogeneous method for risk-weighted asset computation across all banks. The SBA is based on percentages and correlations between different maturities and currencies. The SBA reflects the risk resulting from exposures to interest rates, credit spreads, equities, commodities, foreign exchange, default, and options.

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