FRTB – a timeline
Milestones in the development of the Fundamental Review of the Trading Book
The Fundamental Review of the Trading Book (FRTB) may have been finalised in January 2016, but questions about how to interpret and implement it continue to pile up – postponing any serious conclusions about the impact it will have. Even as national jurisdictions start the slow process of implementing the rules, key elements of the framework remain up in the air – from the hurdles larger banks must jump to gain permission to use their own models, to the version of the rules smaller banks ought to apply.
The collection of Risk.net articles below will take you through the near five-year history of the FRTB.
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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/
If you would like to purchase additional rights please email info@risk.net
Banks make new push on FRTB’s P&L test
Industry calls for series of changes as regulators prepare new consultation, says Nomura’s Epperlein
Read moreBasel delay does not ensure global FRTB consistency
A European Parliament draft would let supervisors decide response to P&L attribution test fails
Read moreBasel rules risk fragmentation after key compromise
Basel Committee ready to release new accord but patchy adoption of internal model floor and FRTB expected
Read moreECB tells IMA banks to apply before rules are complete
Dealers criticise “unreasonable” timetable for FRTB model approvals, revealed in September call
Read moreFRTB: industry pushes to use own quotes in risk factor modelling
Isda working group proposes use of own quotes to minimise non-modellable risk factors
Read moreEU lawmakers consider extending FRTB deadline
European Commission policy expert says current deadline is too ambitious
Read moreP&L test in FRTB may not work – research
Delays in approval and small data sets may doom internal model approach, research finds
Read moreDoubts grow over US FRTB implementation
Fragmented roll-out would price European banks “out of the market”
Read moreCrowd trouble: the FRTB’s war on basis risk
FRTB will lead to build-up of risks around liquid benchmarks, dealers warn
Read moreFRTB survey: internal model approval tops list of bank fears
Two years on from its devising, chunks of the new market risk framework remain 'unworkable'
Read moreFRTB: banks fearful of risk transfer missteps
Short credit and equity positions held in banking book will be caught by market risk capital requirements
Read moreTaking the FRTB plunge
Banks entering chilly FRTB waters for first time facing fresh challenges
Read moreFRTB sends banks around the bend
Banks uncover hidden challenges of data, computing power and need for joined-up approach
Read moreManipulation threat to FRTB data pooling
Concerns over the governance of submitted data and costs could spawn rival initiatives
Read moreFRTB packs bigger-than-expected capital punch
Industry study challenges regulators' estimate of a 40% capital increase
Read moreCapital sums set to drive FRTB desk decisions
Using Volcker desk structure may hurt model approval chances, banks say
Read moreBanks brace for assault course of FRTB implementation
Dealers face test of endurance to win model approval and avoid penal standardised charge
Read moreFinal FRTB is a game of give-and-take, say dealers
Relaxation in some areas of Basel market risk rules offset by harsher treatment in others
Read moreFundamentally fraught: the chaotic last weeks of the FRTB
Quick fixes should have no place in a sweeping three-year reform project
Read moreFRTB: the nightmare before Christmas
Unwanted gift will be delivered, say regulators, and only its size is up for debate
Read moreHull and White on the pros and cons of expected shortfall
Expected shortfall may be more conservative than VAR, but there are backtesting and stability concerns
Read moreBasel trading book review triggers fight for modelling freedom
Regulators have embarked on a wholesale review of the way trading book exposures are capitalised. The industry responded, and continues to lobby – but is it getting anywhere? Laurie Carver reports
Read moreBasel Committee proposes scrapping VAR
Review recommends switch to expected shortfall, postpones CVA charge overhaul, and retains split between banking and trading books
Read moreDelayed Basel trading book review will be broad, say supervisors
Basel Committee is expected to consider wide range of topics, including VAR, liquidity, CVA and the line between banking and trading books - but overall capital requirements are not likely to change
Read moreBasel trading book review delayed
Fundamental review of Basel trading book rules may not begin in earnest until March 2012
Read more