IHS Markit - What makes a price “real”?
Modellability data standards for FRTB
The Fundamental Review of the Trading Book (FRTB) standards published earlier this year require banks to differentiate between risk factors that are “modellable” and those that are “non-modellable”. The latter carry a hefty capital add-on that could account for some 29% of total market risk capital . The modellability classification comes down to whether the firm has access to sufficient data to model the position – that is whether it can demonstrate
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