Austrian Federal Economic Chamber, Division Bank and Insurance
Both options are fine, we tend to prefer option 1b, as it limits the inclusion of risk factors with small impact.
According to our opinion a frequent reconfiguration of mappings based on sensitivities might raise operational concerns. However, aligning the sensitivities with FRTB makes sense to us.
Both options are fine for us, but option 3b reduces operational risks.
0.1% or 1% as it moves the interest regime a bit farther away from zero.
We have operational concerns, e.g. a quoted value of lambda being below the strike of an entered trade.
According our opinion an adjustment is not needed as the prescribed volatility assumptions seems to be a much cruder approximation anyway.
The method is fine, but we think we will be able to map long/short by the trade definitions. We want to avoid to have to update the setting based on daily sensitivity computations.
Overall, we tend to prefer the 1st approach proposed.