The FRTB: Concepts, Implications and Implementation
Concepts, Implications and Implementation
Discipline: Regulation, Quantitative Analysis, Operational Risk
No of pages: 814
Reforms known as the Fundamental Review of the Trading Book (FRTB) impact every bank with a trading book, which in today’s world, is virtually every bank.
The FRTB, released by the Basel Committee on Banking Supervision (BCBS) in 2016, revised the minimum capital requirements for market risk to address the shortcomings of the Basel III market risk capital framework. The FRTB is an overarching view of how risks from banks’ trading activities and portfolios should be assessed and quantified through a credible relationship with capital requirements.