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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a RiskTech Forum account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: