NMRF framework: does it satisfy the ‘use test’?
Non-modellable risk factors – a key part of Basel III’s new market risk regime – affect risk sensitivity and face practical and calibration difficulties, argue two risk experts
This article is the first in a three-part series examining challenges in the FRTB regime and exploring options for improvement
Since the inception of the Fundamental Review of the Trading Book more than a decade ago, one area of the new market risk regime has drawn particular criticism: non-modellable risk factors. Banks have raised concerns that NMRFs take up an unjustifiably large chunk of
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