Risk factor eligibility test (RFET)
FRM Part 2 glossary · FRM Part 2
Definition
FRTB test of whether a risk factor has enough real price observations to qualify as modellable.
Risk factor eligibility test (RFET) in plain English
Passing the RFET permits the factor to enter the internal-model expected-shortfall calculation. Failure moves the exposure into the more conservative NMRF framework.
Also called: RFET
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