Risk glossary


Non-modellable risk factors (NMRFs)

Non-modellable risk factor is a term assigned to risk factors that lack sufficient price data for modelling purposes under the Fundamental Review of the Trading Book.

If a risk factor has fewer than 24 observable real prices within a year or there is more than a month between two observations, then it is classed as an NMRF and banks must apply a separate capital surcharge for the exposure under FRTB.

Click here for articles on non-modellable risk factors.

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