Tool

FRTB-SA Calculator

Upload your market risk sensitivities (and optional default risk positions) to calculate capital charges under the Basel FRTB-SA standard. Files are processed in memory by our calculation service and are not retained; results are kept only in your browser.

How to Use

1. Prepare Sensitivities

CSV with columns: risk_class, bucket, risk_factor, curve, tenor, sensitivity. Add a risk_measure column (DELTA / VEGA) to include vega; vega values are vega × implied vol.

2. Add DRC (Optional)

CSV with default risk positions. Columns: obligor, drc_bucket, rating, seniority, notional, market_value

3. Calculate

Optionally add a curvature P&L file (risk_class, bucket, risk_factor, pnl_up, pnl_down, delta), then click Calculate. Amounts are read at face value in your reporting currency — no FX conversion is performed. Results download as CSV.

Privacy & Data

How your data is handled. Uploaded files are transmitted securely to our calculation service, processed in memory to produce the result, and are not retained after the calculation completes. Calculation results are saved only in your browser's local storage so you can reload them later; clear your browser data to delete this history at any time. The demo accepts files of up to 100 data rows.