Market risk at a crossroads: FRTB, stress-testing and the rise of AI

Market risk functions are negotiating a period of rapid change. Regulatory reforms, volatile markets and advances in artificial intelligence are reshaping how firms measure risk, allocate capital and structure their teams. 

This briefing from the Risk.net Market Risk Leaders’ Network held in New York in March 2026 captures insights from senior market risk professionals on how US institutions are adapting to the Fundamental Review of the Trading Book (FRTB) era, evolving stress-testing frameworks and the growing role of AI in risk management. 

Among the takeaways: 

• Market risk is managed through two lenses: value-at-risk (VAR) and stressed VAR for day-to-day oversight, alongside FRTB metrics for capital and regulatory management 
• FRTB’s standardised approach is creating friction: regulatory formulas can produce capital charges that feel disconnected from actual trading risk 
• Stress-testing is becoming central: firms are relying more on forward-looking scenarios rather than historical models alone. 
• Talent shortages are intensifying: attracting and retaining junior market risk professionals is increasingly challenging 
• AI is improving efficiency, not replacing judgement: risk teams are using AI to accelerate analysis while relying on human expertise for interpretation. 

Download the report to explore how market risk leaders are adapting frameworks, technology and talent strategies in a rapidly changing environment.