FRTB Special Report 2017
Banks are learning to live with the Basel Committee for Banking Supervision’s new market risk standards – the Fundamental review of the trading book – and have begun to focus their implementation efforts on those portions of the rules that have the highest value-add for their business lines.
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Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
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FRTB: a Sisyphean labour
Banks continue to struggle with ever-shifting regulatory parameters
Fast and accurate KVA using AAD
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Basel group shake-up has banks hoping for FRTB changes
Barger and Durand replaced by BoE's Nesbitt; banks want fresh look at P&L test
Inconsistent FRTB model guidance vexes dealers
Risk models pulled in opposite directions by P&L attribution test and non-modellable risk factors
FRTB: Basel guidance on backtesting frustrates dealers
Dealers blast “illogical” carve-outs for backtesting exceptions
Crowd trouble: the FRTB’s war on basis risk
FRTB will lead to build-up of risks around liquid benchmarks, dealers warn
Seizing the opportunity of transformational change
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