Forgotten but not gone: NMRF proxies and the struggle for accurate QIS and capital efficiency under FRTB

The non-modellable risk factor (NMRF) requirements under the Fundamental Review of the Trading Book (FRTB) continue to keep risk managers awake at night. With banks' trading operations already struggling to maintain profitability under high capital requirements from Basel III, firms are looking...

Source: IHS Markit Blog →
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