英文标题：
《Capital allocation under the Fundamental Review of Trading Book》
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作者：
Luting Li and Hao Xing
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最新提交年份：
2019
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英文摘要：
Facing the FRTB, banks need to allocate their capital to each business units or risk positions to evaluate the capital efficiency of their strategies. This paper proposes two computationally efficient allocation methods which are weighted according to liquidity horizon. Both methods provide more stable and less negative allocations under the FRTB than under the current regulatory framework.
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中文摘要：
面对FRTB，银行需要将其资本分配给每个业务部门或风险头寸，以评估其策略的资本效率。本文提出了两种计算效率高的分配方法，它们根据流动性期限进行加权。与当前监管框架相比，这两种方法在FRTB下提供了更稳定和更少的负分配。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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