Description
Section 1 – Overview, FRTB Building Blocks, Computation requirements
Section 2 – Standardised approach: Interest Rate Risk, Credit Spread Risk, Equity Risk, FX Risk, Commodity Risk, Default Risk Charge, Model Add-On, Prototype
Section 3 – Advanced Measurement Approach – Expected Shortfall, Default Risk Charge
Section 4 – P/L Attribution & Backtesting
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