FRTB: trade bodies reveal threat to risk factor modellability

An array of popular derivatives products traded by banks would incur large capital add-ons under the current version of the Basel Committee’s market risk rules because of seasonal lulls in supply and demand.

The framework, known as the Fundamental Review of the Trading Book (FRTB), assigns capital charges to a bank’s trading book based on its sensitivity to certain risk factors. A bank’s sensitivity to a risk factor can be gauged using internal models if it has sufficient trading data to do so

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

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: