
FRTB: industry pushes to use own quotes in risk factor modelling
Isda working group proposes use of own quotes to minimise non-modellable risk factors

Dealers are lobbying for a broader definition of what should count as an acceptable quote for the purposes of modelling risk factors used as inputs to calculate market risk capital requirements under the Fundamental Review of the Trading Book – a move they hope could alleviate hefty capital add-ons when trading less liquid products under the regime.
A draft working paper produced by a sub-group of the International Swaps and Derivatives Association’s FRTB data working group, seen by Risk.net
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Risk management
Regulation
EU eyes fix to FRTB’s capital asymmetry for govvies
Banks say French presidency proposal would see PD floor slashed for sovereign bonds under IMA
Receive this by email