The Fundamental Review of the Trading Book and fat tails

Thomas Roos
27 Apr 2021

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

CLICK HERE TO DOWNLOAD THE PDF

Thomas Roos calculates the probability of returns exceeding a multiple of expected shortfall for fat-tailed portfolios. The results show that, taken in isolation, the Basel III Fundamental Review of the Trading Book market risk capital requirements are insufficient to prevent a large number of insolvencies. The impact of applying a cutoff to the tail distribution is also examined

As part of the Basel III Fundamental Review of the Trading Book (FRTB), the Basel

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.

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]

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]