FRTB – Modellable Risk Factors and Non-Modellable

Following on from my article FRTB – Internal Models or Standardised Approach,  I wanted to look at specific component of the Internal Model Approach (IMA), namely the fact that all risk factors are subject to a Modellable or Non-modellable requirement and non-modellable risk factors result in a higher capital charge. Background In January 2016, the Basel Committee on […]