Basel library
Minimum capital requirements for market risk (FRTB)
The revised market risk framework from the Fundamental Review of the Trading Book, replacing the 2016 version: expected shortfall replaces value-at-risk in internal models, and the standardised approach becomes risk-sensitive.
Note Now part of the consolidated Basel Framework (MAR).
Learn it in the Academy
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
- L4.3.05Internal models: expected shortfall
And 2 more lessons. See every source by lesson in Origins.
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