Hull RMFI, Chapter 18: Fundamental Review of the Trading Book question set consists of 10 pages covering the following learning objectives:
* Describe the changes to the Basel framework for calculating market risk capital under the Fundamental Review of the Trading Book (FRTB), and the motivations for these changes.
* Compare the various liquidity horizons proposed by the FRTB for different asset classes and explain how a bank can calculate its expected shortfall using the various horizons.
* Explain the FRTB revisions to Basel regulations in the following areas
* Classification of positions in the trading book compared to the banking book
* Backtesting, profit and loss attribution, credit risk, and securitizations
We have provided individual links for each question to their respective forum discussion.
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