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Solving the FRTB puzzle


  • Andrew Aziz, global head of market analytics, IHS Markit
  • John Mitchell, FRTB lead, Credit Suisse
  • Steven Jamieson, FRTB programme manager, Nomura International
  • Moderator: Duncan Wood, editor-in-chief, Risk.net

The Fundamental review of the trading book (FRTB) was finalised in January 2016, but big questions remain – not least surrounding the likely capital impact. Regulators made a host of changes between the previous draft and the final text, modifying the residual risk charge and softening liquidity horizons for some risk factors, which the industry welcomed, but then applying a 1.5-times multiplier for banks using internal models to calculate their capital requirement – which was less welcome.

A panel of experts provide insight and opinion on FRTB in this filmed webinar, and delve further into what the regulators are expecting from banks and the major implementation challenges currently faced.

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