frtb

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Manuel Touyaa's porfotlio of Python projects/assignments for Finance Market Risk.

The Ultimate BI tool

This is about calculating Market Risk capital charge under Standardised Approach(SBM) in FRTB

Advanced Approach under FRTB(IMA) requires institutions to meet quantitative tests namely Backtesting and PnL attribution..

Free, open-source FRTB capital calculators

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