EU banks balk at new market risk models backtest : vimarsana

EBA proposals introduce additional expected shortfall backtest for market capital risk models under FRTB

Related Keywords

, European Banking Authority , European Union , European Banking Authority Eba , Basel Committee On Banking Supervision Bcbs , European Central Bank Ecb , Europe , Frtb , Market Risk , Trading Book , Capital Requirements , Apital Requirements Directive Crd , Expected Shortfall Es , Backtesting , Profit Amp Lossp Ampl , P Ampl Attribution Test , Nternal Models Approach Ima , Standardised Approaches , Model Validation , Licitability , Tail Risk , Alue At Risk Var , Regulation ,