Data for: Capital allocation under the FRTB regime via marginal measures

Published: 19 October 2018| Version 1 | DOI: 10.17632/5vghtj2dwz.1
Contributor:
Robert Schulze

Description

Simple example sheets for the determination of marginal measures for the Internal Model Approach (IMA) Expected Shortfall (ES) as well as the Sensitivity-Based Approach (SBA) of the Fundamental Review of the Trading Book (FRTB) regulation

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Categories

Economics, Finance, Risk Management

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