Regulatory Technical Standards on the capitalisation of non-modellable risk factors under the FRTB

These draft Regulatory Technical Standards (RTS) on the capitalisation of non-modellable risk factors (NMRFs) for institutions using the new Internal Model Approach (IMA) under the FRTB (Fundamental Review of the Trading Book) are one of the key deliverables included in the roadmap for the new market and counterparty credit risk approaches published on 27 June 2019. These draft RTS specify all technical details that are essential for determining the own funds requirements related to non-modellable risks. In particular, they set how institutions are to determine the stress scenario risk measure corresponding to a non-modellable risk factor.