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Quantitative Finance · Glosarium

Apa itu Fundamental Review of the Trading Book?

Definition 23.1 Rates, Credit, XVA and Risk · Bab 23 — Regulatory Capital for Trading Books

The Fundamental Review of the Trading Book (FRTB) is the Basel Committee’s market-risk capital framework of January 2019: a revised boundary between the books, a standardised approach built on sensitivities, and an internal models approach built on expected shortfall with desk-level eligibility tests.

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