04 · A-SA — sensitivities-based method

Capital from the desk's own greeks

The old standardised approach priced positions by notional buckets — blind to hedges, blind to curvature. The A-SA's insight is to charge capital on the same objects the front office already manages: delta sensitivities to prescribed risk factors, vega where there is optionality, and a curvature add-on that stress-shifts each factor up and down and keeps the worse residual beyond delta. Netting happens where risk actually offsets — within a bucket by supervisory correlation ρ, across buckets by γ — and because hedges can fail in both calm and panic, the whole aggregation runs three times (correlations ×1.00 / ×1.25 / ×0.75) taking the worst. DRC then charges default separately (sensitivities see spreads, not jumps-to-default), and RRAO sweeps up payoffs no sensitivity can represent. It is a model in standardised clothing — which is precisely why it can serve as everyone's floor and every desk's fallback.

• Sources: Art 325c–325ay; RTS on curvature treatment, FX/materiality; EBA reporting ITS since 2021. From 2027 the A-SA is also the floor input and benchmarking object — its numbers acquire three audiences at once.