FRTB survey: risk transfer shake-up hits home
Basel’s new market risk capital framework imposes strict conditions on internal risk transfers between the banking and trading books. These promise to load new costs and operational burdens on dealers. Plenty of unanswered questions on the specifics remain, however
This is a companion piece to Risk.net's forthcoming 2016 FRTB implementation survey. The full results will be published in early December.
Dealers have become adept at hunting out every available scrap of relief under the market risk capital framework – almost as adept, in fact, as supervisors have become at heading off activities they believe unfairly neuter mandated risk charges. The Basel
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