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Capital Allocation Under the FRTB Regime via Marginal Measures

December 13, 2018

For the allocation of capital charges and risk-weighted assets (RWA) to individual risk factors, financial instruments and/or portfolios, marginal contributions are most useful. Robert Schulze offers a way to compute additive marginal contributions for the six capital measures forming the capital computation under the new Basel III market risk regime, commonly called the “Fundamental Review of the Trading Book.”

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