Levelling the playing field of the FRTB’s forex rules

Hany Farag argues that changing the base currency may address FRTB forex asymmetry


The Fundamental Review of the Trading Book’s (FRTB’s) standardised approach (SA) contains a strong asymmetry that may disadvantage banks, depending on their reporting currencies. Hany Farag recently published a comprehensive analysis of the mathematical properties of the SA’s foreign exchange measures which showed that there is a way to fix the asymmetry while maintaining the FRTB framework. In this article, he presents a simple and detailed version of the solution

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