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Capital/FRTB
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Margin Period of Risk
Andersen Pykhtin Sokol
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Capital/FRTB
FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 352)
FRTB Basic Approach for CVA (BA-CVA, BCBS 325)
FRTB Standardised Approach for CVA (SA-CVA, BCBS 325)
FRTB Internal Models Approach for the Trading Book (IMA-TB, BCBS 352)
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Margin Period of Risk
Papers
Andersen Pykhtin Sokol 2016
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Capital/FRTB
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Margin Period of Risk