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FRTB: Standardised Approach Tom Mills FinPricing http: //finpricing

FRTB: Standardised Approach Tom Mills FinPricing http: //www.finpricing.com. FRTB SA. Summary FRTB Definition FRTB vs Basel 2.5 FRTB M ain Features FRTB Approaches FRTB Standardised Approach (SA) FRTB SA: Sensitivity B ased R isk C harge FRTB SA: Default R isk C harge

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FRTB Standardised Approach Introduction

The Fundamental Review of the Trading Book (FRTB) is a new Basel committee framework for the next generation market risk. It consists of a standardised approach and an internal model approach. This presentation provides an overview of the standardised approach. See more presentations at http://www.finpricing.com/paperList.html

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370 views • 14 slides

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Modellable risk factors - PowerPoint PPT Presentation

FRTB: Standardised Approach Tom Mills FinPricing http: //finpricing

FRTB Standardised Approach Introduction