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Levelling the playing field of the FRTB’s forex rules

Hany Farag argues that changing the base currency may address FRTB forex asymmetry

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The Fundamental Review of the Trading Book’s (FRTB’s) standardised approach (SA) contains a strong asymmetry that may disadvantage banks, depending on their reporting currencies. Hany Farag recently published a comprehensive analysis of the mathematical properties of the SA’s foreign exchange measures which showed that there is a way to fix the asymmetry while maintaining the FRTB framework. In this article, he presents a simple and detailed version of the solution

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