Banks fear costs from loss of AAD under simpler FRTB rules

Trading book regime may force use of more expensive and time-consuming ways of computing risk sensitivities

Back to the drawing board: FRTB may force banks to revert to older calculation methods

The Basel Committee on Banking Supervision’s new market risk capital rules, which were unveiled in January, could prevent the use of adjoint algorithmic differentiation (AAD), a highly popular mathematical technique used by banks to speed up their risk calculations.

Similar to current rules, the Fundamental review of the trading book (FRTB) allows more sophisticated banks to use their own models for regulatory capital, albeit subject to tougher restrictions than existed before, including a

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: