Basel library
Basel Framework: market risk (MAR)
The FRTB rules: the boundary between trading and banking book, the sensitivities-based standardised approach, the internal models approach built on expected shortfall, and the simplified approach for small trading books.
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Lessons that explain or cite this document.
- L1.4.09Convexity
- L2.2.02Market risk
- L2.3.06Limits and escalation
- L2.5.03Correlation and diversification
- L2.5.04Sensitivities
- L2.5.06Value at risk: the idea
- L2.5.08Expected shortfall
- L3.1.06Many assets and the covariance matrix
- L3.2.07Credit spread risk
- L3.2.08P&L attribution and explain
- L3.2.12Expected shortfall in practice
- L4.3.01The trading book boundary
And 10 more lessons. See every source by lesson in Origins.
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