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.
The IMA map: charting market risk capital under Basel 2.5
The current market risk framework refuses to be superseded. Risk.net dissects banks’ disclosures to explore how trading book capital requirements have evolved
EU edges closer to calming FRTB fund-linked fray
Dealers say temporary solution is a step in the right direction but won’t fully resolve all issues
European Commission changes tune on proposed FRTB multiplier
Banks fear departure from original diversification factor undermines case for permanent relief
Trading desks want regulators to face down the NMRF monster
Rule-makers in Australia and the European Union are open to changes to the unpopular FRTB test
FRTB may bite harder for Europe’s CVA modellers
Farther reach of advanced approach and lighter load on total requirements mean limited takeaways from Canada and Japan’s implementation
Can Europe’s FRTB refurb bring banks back to Club IMA?
Softening the NMRF regime permanently might have the most impact, but the output floor still hurts
Japan, Basel III and the pitfalls of being on time
Capital floor phase-in delay may be least-worst option for JFSA as US and Europe waver
UBS’s CVA charges spike by 30% under new market risk regime
Proportional impact is higher than at any FRTB adopter so far
Adapting FRTB strategies across Apac markets
As Apac banks face FRTB deadlines, MSCI explores the insights from early adopters that can help them align with requirements