Research finds ways to tame FRTB’s biases in forex charges
New paper shows ways to reduce influence of reporting currency
Identical foreign exchange portfolios could attract wildly varying capital charges depending on which currency they are reported in under a new global market risk framework, but workarounds are possible, research shows.
The Fundamental Review of the Trading Book (FRTB), by the Basel Committee on Banking Supervision, introduces a revised standardised approach to calculating market risk. The approach dictates two charges for forex market risk – the linear charge and the curvature charge –
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