Identification and capitalisation of non-modellable risk factors

Adolfo Montoro, Tim Becker, Lars Popken
27 Jan 2017

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Under Basel’s new trading book rules, risk factors that cannot be evidenced by a sufficient set of real prices from representative transactions have to be considered non-modellable, and are subject to conservative capital requirements. Here, Adolfo Montoro, Tim Becker and Lars Popken propose techniques for systematically capturing and categorising non-modellable risk factors and risk-adequate aggregation

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Banks are exposed to a multitude of risk factors; however, not

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