Скачать или смотреть FRTB IMA ES-Regulatory capital for trading book mased on internal model based approach (ES)

I have calculated Regulatory trading book capital required based on IMA method using an excel based model. I used a multi asset portfolio containing rates, equity, commodity and credit products. I calculated 12 expected shortfalls. Below are the steps I followed in detail.
Executive Summary
The FRTB Internal Model Approach represents the Basel III framework for calculating regulatory market risk capital using Expected Shortfall (ES) as the core risk metric. This approach applies to trading book positions and requires banks to demonstrate robust risk modelling capabilities that meet stringent regulatory standards for modellable risk factors.
1. Core Methodology: Expected Shortfall
Risk Metric: Expected Shortfall replaces Value-at-Risk as the primary measure, calculated at 97.5% one-tailed confidence level with a base horizon of 10 days.
Calculation Frequency: Daily computation is required for diversified ES (IMCC(C)), while risk class-specific undiversified ES can be calculated weekly.
2. Modellable Risk Factor Eligibility
Banks must demonstrate that risk factors used in their internal models meet the Risk Factor Eligibility Test (RFET) outlined in MAR 31.
Eligibility Criteria (Banks typically choose Criterion 2):
Criterion 1: At least 24 real price observations per year with:
• No more than one observation per day
• No 90-day period with fewer than 4 observations
• Monitored monthly
Criterion 2 (Commonly Used): At least 100 real price observations over the previous 12 months with no more than one observation per day
The second criterion is considered more lenient and is the preferred choice for most banks conducting the eligibility test.