The impact of the Fundamental Review of the Trading Book : evaluation on a stylized portfolio
Year of publication: |
2024
|
---|---|
Authors: | Carvalho, Paulo Viegas de ; Pinheiro, Carlos Manuel ; Rodrigues, Marta Sofia |
Published in: |
Journal of risk : JOR. - London : Infopro Digital Risk, ISSN 1755-2842, ZDB-ID 2091446-5. - Vol. 26.2024, 3, p. 49-73
|
Subject: | capital requirement | Basel Committee on Banking Supervision (BCBS) | trading book | Fundamental Review of the Trading Book (FRTB) | market risk | Basler Akkord | Basel Accord | Portfolio-Management | Portfolio selection | Welt | World | Bankenaufsicht | Banking supervision | Wertpapierhandel | Securities trading |
-
Mignola, Giulio, (2016)
-
The fundamental review of trading book: New standard approach and risk management impacts
Poretta, Pasqualina, (2021)
-
Value-at-Risk zur Marktrisikosteuerung und Eigenkapitalallokation
Johanning, Lutz, (1998)
- More ...
-
Modelos de previsão da taxa de cambio
Carvalho, Paulo Viegas de, (1996)
-
Carvalho, Paulo Viegas de, (2023)
-
The effect of inventory leanness on firms’ credit ratings : the case of Pakistan
Carvalho, Paulo Viegas de, (2022)
- More ...