Essays about: "FRTB"
Found 3 essays containing the word FRTB.
-
1. Modelling of Capital Requirements using LSTM and A-SA in CRR 3
University essay from KTH/Matematik (Avd.)Abstract : In response to the Great Financial Crisis of 2008, a handful of measures were taken to increase the resilience toward a similar disaster in the future. Global financial regulatory entities implemented several new directives with the intention to enhance global capital markets, leading to regulatory frameworks where financial participants (FPs) are regulated with own fund's requirements for market risks. READ MORE
-
2. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading Book
University essay from KTH/Matematisk statistikAbstract : The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). READ MORE
-
3. Internal Market Risk Modelling for Power Trading Companies
University essay from KTH/Matematisk statistikAbstract : Since the financial crisis of 2008, the risk awareness has increased in the -financial sector. Companies are regulated with regards to risk exposure. These regulations are driven by the Basel Committee that formulates broad supervisory standards, guidelines and recommends statements of best practice in banking supervision. READ MORE