FRTB IMA DRC and the 3 Basis Point Floor

As part of the default risk charge (DRC) in the internal models approach (IMA) within… Read more FRTB IMA DRC and the 3 Basis Point Floor

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Documents (1) for Consultation Response on Data Inputs in the Risk Measurement Model

Documents (1) for Consultation Response on Risks Not in VAR and Stressed VAR

Documents (1) for Consultation Response on Internal Default Risk Model Requirements

Documents (1) for Consultation Response on the Calculation of the Stress Scenario Risk Measure

Documents (1) for Industry Response: Counterparty credit risk: Treatment of model limitations in banks’ internal models

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