FRTB
WHAT IS THIS? The Fundamental Review of the Trading Book (FRTB) is a set of market risk capital rules designed to replace a series of patches introduced after the financial crisis. It seeks to better-capture tail risk, to redraw the boundary between banking and trading books, and to raise the bar for internal models.
Q&A: Japan regulator aims to be glue for fragmented rules
“Unintended and unnecessary” splits in regulation damage financial markets, says FSA’s Ryozo Himino
Japan regulator: new FRTB will help uniform Asian uptake
Relaxation of non-modellable risk factors, among other revisions, welcomed by FSA
Top 10 op risks 2019: organisational change
Missteps during strategic change open up a grab-bag of different risks
FRTB 2.0: lower capital but high running costs
Revisions to market risk rules fail to ease complexities of internal models approach
FRTB is here – now it’s up to local regulators
Each jurisdiction must produce its own version of FRTB; until then, banks are hanging back
Functional programming reaches for stardom in finance
Fans highlight more reliable code, and suitability for complex tasks and distributed ledgers
Banks hope final FRTB rules will ease NMRF burden
Internal models approach buoyed by more liberal rules on price observations and risk factor aggregation
VAR model under scrutiny as RBS’s breaches spike
Excessive backtesting exceptions lead to increase in capital multiplier
Dawn of CVA threatens hedging woe for Japan banks
Japan’s thinly traded CDS market will make CVA hedging challenging, dealers say
Banks rocked by U-turn on FRTB equity risk weights
Risk managers warn of higher capital charge after Basel reverts to original 2016 treatment
Blazing new analytical paths: Tackling data aggregation for new risk insights
As the risk function’s influence continues to grow within financial services firms, demand for quality integrated risk data to support a wider range of business-critical decisions is stretching the capabilities of existing technology to breaking point. A…
Japan banks face huge CVA hit, dealers say
Revaluation of derivatives books likely to cause hundreds of millions in one-off losses
Final FRTB internal model rules get mixed reviews
Bankers divided on whether changes to two key tests will ease ‘penal’ capital charges
Standardised approaches lose out in FRTB update
Ratio of standardised approach to IMA capital estimated to increase
Credit risk quants are hitting the tech gap
An appetite to cut the costs of IRB is constrained by tougher regulatory scrutiny
EU lawmakers delay FRTB capital charges
Leaked paper potentially pushes market risk capital charges beyond Basel’s 2022 deadline
FRTB spurs data mining push at StanChart
Bank building “single golden source” of trade data in a bid to lower NMRF burden
Wells Fargo opts for FRTB’s standardised approach
Risk USA: Complexity of internal models drives big bank to an approach designed for smaller ones
BlackRock, risk models and regulatory relief
The week on Risk.net, October 20–26, 2018
New NMRF rules will push more desks to standardised approach
Restrictions on use of proxy data will bar banks from using internal models, conference hears
Keeping up with cloud adoption
Risk.net convened a webinar in collaboration with Murex to explore how, as more financial institutions move to the cloud, they can get the most out of their technology investments