Hull RMFI, Chapter 18: Fundamental Review of the Trading Book Study Notes consist of 11 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
After reviewing the notes, you will be able to apply what you learned with practice questions.
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