Levelling the playing field of the FRTB’s forex rules

Hany Farag argues that changing the base currency may address FRTB forex asymmetry

CLICK HERE TO VIEW THE PDF

The Fundamental Review of the Trading Book’s (FRTB’s) standardised approach (SA) contains a strong asymmetry that may disadvantage banks, depending on their reporting currencies. Hany Farag recently published a comprehensive analysis of the mathematical properties of the SA’s foreign exchange measures which showed that there is a way to fix the asymmetry while maintaining the FRTB framework. In this article, he presents a simple and detailed version of the solution

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: