NMRF framework: does it satisfy the ‘use test’?
Non-modellable risk factors – a key part of Basel III’s new market risk regime – affect risk sensitivity and face practical and calibration difficulties, argue two risk experts
This article is the first in a three-part series examining challenges in the FRTB regime and exploring options for improvement. Read the other two articles here and here
Since the inception of the Fundamental Review of the Trading Book more than a decade ago, one area of the new market risk regime has drawn particular criticism: non-modellable risk factors. Banks have raised concerns that NMRFs
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