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Partners in Risk Management

FRTB: Improving the Modellability of Risk Factors

Posted on Jun 23, 2021

The modellability of risk factors is an important component of FRTB for banks as it directly affects capital calculations. Banks should aim to reduce the number of non-modellable risk factors (NMRFs) as they can significantly increase the capital charges. In this presentation, we present three key methods for reducing the capital requirements of NMRFs.

Read our published briefing here.

For more information or if you have any questions please contact:

Dilbagh Kalsi
Partner, Head of UK Practice
Fintegral UK Ltd
+44 (0)7703 788 016

Robert Pullman
Senior Consultant
Fintegral UK Ltd
+44 7958 541 756

Hardial Kalsi
Senior Consultant
Fintegral UK Ltd
+44 7903 790 291

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