FRTB: trade bodies reveal threat to risk factor modellability
Swaptions, sovereign CDS and long-dated swaps at risk of being NMRFs
An array of popular derivatives products traded by banks would incur large capital add-ons under the current version of the Basel Committee’s market risk rules because of seasonal lulls in supply and demand.
The framework, known as the Fundamental Review of the Trading Book (FRTB), assigns capital charges to a bank’s trading book based on its sensitivity to certain risk factors. A bank’s
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