AnalystPrep's FRM Part 2 Video Series
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The written summary can be found here:
After completing this reading you should be able to:
- Describe the changes to the Basel framework for calculating market risk capital under the Fundamental
Review of the Trading Book (FRTB) and the motivations for these changes.
- Compare the various liquidity horizons proposed by the FRTB for different asset classes and explain how
a bank can calculate its expected shortfall using the various horizons.
- Explain the FRTB revisions to Basel regulations in the following areas:
- Classification of positions in the trading book compared to the banking book
- Backtesting, profit and loss attribution, credit risk and securitizations