Non-modellable risk factor is a term assigned to risk factors that lack sufficient price data for modelling purposes under the Fundamental Review of the Trading Book. If a risk factor has fewer than 24 observable real prices within a year or there is more than a month between two observations, then it is classed as an NMRF and banks must apply a separate capital surcharge for the exposure under FRTB.
NON-MODELLABLE RISK FACTORS (NMRFS)
