asset-classes

  1. Nicole Seaman

    P2.T5.23.8 Fundamental Review of the Trading Book (FRTB)

    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...
    • Nicole Seaman
    • Thread
    • asset-classes banking-book basel-framework classifications-of-positions expected-shortfall frtb fundamental-review-of-the-trading-book liquidity-horizons market-risk-capital
    • Replies: 0
    • Forum: FRM® Practice Questions
  2. Nicole Seaman

    P2.T9.21.8. Surplus at risk (SaR)

    Learning objectives: Distinguish among the following types of risk: absolute risk, relative risk, policy-mix risk, active management risk, funding risk, and sponsor risk. Explain the use of VaR to check manager compliance and monitor risk. Explain how VaR can be used in the development of...
    • Nicole Seaman
    • Thread
    • absolute-risk active-management-risk active-managers asset-classes funding-risk investment-guidelines manager-compliance policy-mix-risk relative-risk risk-budgeting sponsor-risk surplus-at-risk
    • Replies: 0
    • Forum: FRM® Practice Questions
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