FRTB internal models: quo vadis?
Two risk experts explore how to adjust the FRTB framework to promote internal model usage
This article is the last of a three-part series examining flaws in the FRTB regime and exploring possible changes. Read the other articles here and here
The adoption of the Fundamental Review of the Trading Book has been bifurcated. The new market risk framework is in force in most of the Asian economies, with banks in Japan, Singapore, Hong Kong and South Korea subject to the capital rules.
Yet
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