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- W4229054712 abstract "The recent capital market shock events have drawn increased regulatory attention to the procyclical nature of the forthcoming Basel market risk regime, the Fundamental Review of Trading Book (FRTB). The overall objective of this research is to evaluate whether the quantitative improvements made in FRTB can mitigate the Basel market risk capital framework’s impact on business cycles. The research found no strong evidence that FRTB would reduce the overall procyclicality of the framework. This study also confirmed that banks can reduce their market risk charge via their modelling choices without amplifying procyclicality in their capital requirements." @default.
- W4229054712 created "2022-05-08" @default.
- W4229054712 creator A5039186989 @default.
- W4229054712 date "2022-05-06" @default.
- W4229054712 modified "2023-09-26" @default.
- W4229054712 title "Procyclical nature of the proposed FRTB market risk capital regime" @default.
- W4229054712 doi "https://doi.org/10.5204/thesis.eprints.230387" @default.
- W4229054712 hasPublicationYear "2022" @default.
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