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New FRTB Rules on Risk Factor Eligibility – More Evolution than Revolution

Traders Magazine Online News, January 31, 2019

Kaylash Patel

Small evolutionary changes can lead to significant improvements over time. The recent publication  of revised market risk rules as part of the Fundamental Review of the Trading Book (FRTB) from the Basel Committee is a good example when it comes to the Risk Factor Eligibility Test (RFET).

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