Sensitivities are the core inputs to the Standardized Approach of the Fundamental Review of the Trading Book (FRTB) and are costly to implement and calculate for large portfolios and complex products. The internally calculated sensitivities by institutions may not be directly applicable for FRTB...

The square-root-of-time rule (SRTR) has been used in previous Basel market risk framework to scale one day Value-at-Risk (VaR) to 10-day VaR and is extended to expected shortfall (ES) with multiple liquidity horizons in the latest Fundamental Review of the Trading Book (FRTB) Internal Model...