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          • FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 352)
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        FRTB Internal Models Approach for the Trading Book (IMA-TB, BCBS 352)

        • Slides
        • Excel
        Slides
        • IMA Overview
          • Internal Models Approach - Introduction
          • Aggregate capital charge for market risk
          • Approved desk charge
          • Identification of modellable risk factors
          • Unapproved desk charge
        • IMA Desk Approval
          • IMCC Calculation
            • Stressed ES (SES) Calculation
              • Default Risk Charge (DRC) Calculation
                • Multiplication factor Mc
                  1. Slides
                  2. IMA Overview
                    • IMA Overview
                    • IMA Desk Approval
                    • IMCC Calculation
                    • Stressed ES (SES) Calculation
                    • Default Risk Charge (DRC) Calculation
                    • Multiplication factor Mc

                  Identification of modellable risk factors

                  • For a risk factor to be classified as “modellable”, it should have a history of “real” prices.
                  • To be considered modellable, a risk factor should have at least 24 observations per year, with a maximum period of one month between two consecutive transactions.
                  • Price is considered to be real if:
                    • It is a price at which the institution has transacted on an arms-length basis.
                    • It is a price for an actual transaction between two other (independent) third parties.
                    • The price is taken from a firm (transactable) quote.
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