Data for: Capital allocation under the FRTB regime via marginal measures

Simple example sheets for the determination of marginal measures for the Internal Model Approach (IMA) Expected Shortfall (ES) as well as the Sensitivity-Based Approach (SBA) of the Fundamental Review of the Trading Book (FRTB) regulation本数据集为用于计算内部模型法（Internal Model Approach, IMA）下的预期损失（Expected Shortfall, ES），以及交易账簿基本面审查（Fundamental Review of the Trading Book, FRTB）监管规则中敏感性法（Sensitivity-Based Approach, SBA）所需边际度量的简易示例工作表。