About this document
Enhancing Risk Factor Modellability FRTB by bhaskar.raghav9897 is a document available to read on EtoBox.
The document discusses the challenges banks face with the FRTB Internal Model Approach (IMA), particularly regarding the modellability of risk factors and the implications of the risk factor eligibility test (RFET) and profit and loss attribution test (PLAT). It highlights the significant capital charges associated with non-modellable risk factors (NMRFs) and explores various modelling techniques to manage these risks and optimize capital charges. The analysis includes strategies such as using optimal risk
- Author
- bhaskar.raghav9897
- Language
- EN