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What is FRTB about?

The Master Thesis evaluates the Fundamental Review of the Trading Book (FRTB), which introduces a new regulatory framework for market risk capital requirements, transitioning from Value-at-Risk (VaR) to Expected Shortfall (ES) by 2019. The study analyzes the implications of this shift, focusing on the impact of varying liquidity horizons on capital requirements and finds that the new framework may lead to increased capital charges for less liquid assets. Overall, the research indicates that the FRTB aims to

Author

Ankit Chaturvedi

Language

EN