Study on Management of Non-Modelable Risk Factors (NMRF) via machine learning
The fundamental review of the trading book (FRTB) drawn up by the Basel Committee (Basel Committee on Banking Supervision) imposes a series of requirements which will come into force in January 2022. One of the main innovations defined by FRTB concerns the introduction of the concept of non-modellable risk factors (NMRF), which requires the holding…
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