45. The standardised approach must be calculated by all banks and reported to their supervisor on a monthly basis.
46. A bank must determine its regulatory capital requirements for market risk according to the standardised approach for market risk at the demand of their supervisor.
2. Structure of the standardised approach
(i) Overview of the structure of the standardised approach
47. The standardised approach capital requirement is the simple sum of three components: the risk charges under the sensitivities based method, the default risk charge, and the residual risk add-on.
(a) The risk charge under the Sensitivities-based Method must be calculated by aggregating the following risk measures:
(i) Delta: A risk measure based on sensitivities of a bank's trading book to regulatory delta risk factors. Delta sensitivities are to be used as inputs into the aggregation formula which delivers the capital requirement for the Sensitivities-based method.
(ii) Vega: A r
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