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Keywords: Fundamental Review of the Trading Book (FRTB)
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Journal Articles
Journal of Economics, Finance and Administrative Science (2023) 28 (55): 96–115.
Published: 27 April 2023
...Carlos Alexander Grajales; Santiago Medina Hurtado Purpose This paper measures different market risk impacts on options portfolios under the new Fundamental Review of the Trading Book (FRTB) regulation, issued in Basel and coming into effect in 2023. Design/methodology/approach This paper...
