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 more articles on non-modellable risk factors.

  • LinkedIn  
  • Save this article
  • Print this page  

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: