FRTB threatens dynamic FX hedging of capital ratios

Samuel Wilkes
19 Apr 2018

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Comic book heroes Batman and Robin are dubbed the ‘Dynamic Duo’ due to their effectiveness in fighting crime on the streets of Gotham City. But if the pair had to ask the mayor for permission before apprehending each criminal mastermind, fans of the duo would have to find a different nickname to describe the partnership.

Treasurers may feel the same way about the Basel Committee’s Fundamental Review of the Trading Book. The market risk rules make allowances for banks to use dynamic hedging

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