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Non-modellable risk factor (NMRF)

FRM Part 2 glossary · Market Risk

Definition

A trading-book risk factor that fails prescribed data-availability tests and therefore receives a separate stressed capital charge.

Non-modellable risk factor (NMRF) in plain English

A factor can be economically real yet non-modellable because observable prices are too sparse. The resulting charge prevents a lack of data from being mistaken for a lack of risk.

Also called: NMRF

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