Table 1 Number of computational checks needed given the sample set of data
From: Basel III FRTB: data pooling innovation to lower capital charges
Number of risk factor definitions | Risk factor bucket definition | Number of unique risk factor permutations | Checks required for modellability |
|---|---|---|---|
3 | Issue-level | 10,000 unique bonds | 2,760,000 checks |
3 | Ratings, sector, & term to maturity | 7,260 permutations | 2,003,760 checks |
3 | Issuer & term to maturity | 550 permutations | 151,800 checks |
Total checks required for the sample risk factor definitions | 4,915,560 checks | Â | Â |