Dear Wilmotters,
these days we are increasingly involved with implementing the regulatory requirements for market risks in the trading books (FRTB).
One of the inputs required for the calcuation is the NOTIONAL of a derivative position, which will be simply multiplied by 0.1% (or 1%) for mildly/wildly exotic products; "exotic" being defined by the Basel committee...
We are still wondering, what would be the notional for certain derivatives, say exotic equity options. I scanned the forum for quite some time, always retrieving the usual definition " # of Contracts times underlying value", or "#C x Underlying x Delta", etc. I am wondering, whether this definition is sensible when it comes to FRTB considerations.
Did any of you run across this issue; probably from a market risk / FRTB perspective?