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FRTB Standardized Approach
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2020
- Group(s):
- Business Management
- Subject(s):
- Economics
- Item Type:
- Presentation
- Tag(s):
- Fundamental Review of the Trading Book, FRTB, standardized approach, internal model approach, Sensitivity-based risk charge, Default risk charge
- Permanent URL:
- http://dx.doi.org/10.17613/kkf7-0q59
- Abstract:
- The Fundamental Review of the Trading Book (FRTB) is a new Basel committee framework for the next generation market risk regulatory capital rules. It is inspired by the undercapitalisation of trading book exposures witnessed during the financial crisis. FRTB aims to address shortcoming of the current Basel 2.5 market risk capital framework.
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 3 years ago
- License:
- All-Rights-Granted
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frtbsa-6.pdf