What is it about?
This study develops methodologies and applications for estimating capital reserves or adequate metrics for market risk in portfolios with financial options. The research is conducted under the new banking regulation FRTB. In particular, possible impacts on emerging economies are shown.
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Why is it important?
The proposals and applications developed can be scaled up technologically and institutionally.
Perspectives
FRTB caught my attention ... This is the new Basel regulation in the banking sector to manage market risk. The new regulation is an essential line of research in conjunction with financial risk. And I foresee opportunities regarding methodological proposals and computational implementations that other sectors could be forwardly scale. I hope you find this article thought-provoking.
Carlos Alexander Grajales
Universidad de Antioquia
Read the Original
This page is a summary of: Sensitivities-based method and expected shortfall for market risk under FRTB: its impact on options risk capital, Journal of Economics Finance and Administrative Science, April 2023, Emerald,
DOI: 10.1108/jefas-12-2021-0268.
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