FRTB: trade bodies reveal threat to risk factor modellability
An array of popular derivatives products traded by banks would incur large capital add-ons under the current version of the Basel Committee’s market risk rules because of seasonal lulls in supply and demand.
The framework, known as the Fundamental Review of the Trading Book (FRTB), assigns capital charges to a bank’s trading book based on its sensitivity to certain risk factors. A bank’s sensitivity to a risk factor can be gauged using internal models if it has sufficient trading data to do so
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 Quantum
7 days in 60 seconds
SA-CCR, IM relief and the fuzziness of good behaviour
The week on Risk.net, February 15-21, 2020
Receive this by email