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An assessment of the Fundamental Review of the Trading Book : the capital requirement impact on a stylised financial portfolio

Pederzoli, Chiara; Torricelli, Costanza - In: International journal of banking, accounting and … 12 (2021) 4, pp. 389-403

Persistent link: https://www.econbiz.de/10012694431

Oil tail-risk forecasts : from financial crisis to COVID-19

Kuang, Wei - In: Risk management : an international journal 24 (2022) 4, pp. 420-460

Persistent link: https://www.econbiz.de/10013464195

Fundamental Review of the Trading Book : Risikomessung mit dem Expected Shortfall

Ziggel, Daniel; Berens, Tobias - In: Brennpunkt Risikomanagement und Regulierung, (pp. 177-187). 2015

Persistent link: https://www.econbiz.de/10010503303

Fundamental Review of the Trading Book : Marktpreisrisiken im Handelsbuch

Vorbrink, Jörg; Bakiev, Djamshid; Kessler, Bernhard - In: Brennpunkt Risikomanagement und Regulierung, (pp. 27-56). 2015

Persistent link: https://www.econbiz.de/10010503319

Marktrisikoregulierung im Umbruch

Quell, Peter (ed.); Wehn, Carsten (ed.) - 2016 - 1. Auflage 2016

Persistent link: https://www.econbiz.de/10011572643

The top 14 challenges for today’s model risk managers : has the time come to think about going beyond SR11-7?

Hill, Jon R. - In: Journal of risk management in financial institutions 12 (2019) 2, pp. 145-167

Persistent link: https://www.econbiz.de/10012065278

How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR

Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407

Persistent link: https://www.econbiz.de/10012194794

A universal stress scenario approach for capitalising non-modellable risk factors under the FRTB

Aichele, Martin; Crotti, Marco Giovanni; Rehle, Benedikt - 2021

EU legislators mandated the European Banking Authority to propose a stress scenario methodology for capitalising non-modellable risk factors (NMRF) as foreseen under the Basel Fundamental Review of the Trading Book (FRTB) rules for market risk. In this paper, we present the foundations of such a...

Persistent link: https://www.econbiz.de/10012594975

Decoupling VaR and regulatory capital : an examination of practitioners' experience of market risk regulation

McCullagh, Orla; Cummins, Mark; Killian, Sheila - In: Journal of banking regulation 24 (2023) 3, pp. 321-336

Persistent link: https://www.econbiz.de/10014326959