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.
Forming an effective FRTB action plan
Content provided by IBM
Three months left: dealers fret over slow start to Simm tests
Banks "still working like mad" in race to implement standard margin model
FRTB: Is your bank prepared?
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Forming FRTB action plans: Tactical versus transformational
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Forge ahead of the FRTB
Content provided by IBM
Trust in clusters: a new approach to stress testing
Search for plausible stress scenarios leads Natixis risk managers in a new direction
Manipulation threat to FRTB data pooling
Concerns over the governance of submitted data and costs could spawn rival initiatives
Pressure grows for more opt-outs from Basel for smaller banks
Key MEP urges broader exemptions for regional banks as FRTB looms
Brexit fears stall regulatory preparations
Dealers waiting until August to implement key FRTB decisions
Strong banks, weak stocks: should regulation share the blame?
Analysts say regulatory risk plays a part in weak bank valuations and wobbly prices
Regional banks may benefit from Basel CVA surprise
Basel Committee decision removes potential source of competitive advantage for large dealers
Expected shortfall and VAR: cracking the marginal allocations
A new method to estimate marginal VAR and marginal ES is presented
FRTB: business and technology implications
Sponsored webinar: Calypso
Capital and funding
Quants propose KVA and FVA accounting framework based on Solvency II regulation
Internal model use may decline under FRTB, banks say
"The jury is still out on whether internal models are worth the effort" – HSBC's Jenkins
Getting in shape for the FRTB has to start now
Many banks are lagging behind when it comes to ensuring they are fit for the new trading book regime
FRTB: Changing the game for financial institutions
Sponsored webinar: Calypso
The FRTB data management challenge
Sponsored forum: Asset Control
Banks seek to counter FRTB internal model add-on
Parallel shifts and trading desk reshuffles mooted as fix for non-modellable risk factors
Cold comfort for dealers at crunch FRTB meeting
Banks and regulators make little headway on P&L variance test
Regulators have 'keen interest' in FRTB liquidity effect
Isda AGM: Japan central banker says regulators should analyse liquidity impact of capital rules
FRTB packs bigger-than-expected capital punch
Industry study challenges regulators' estimate of a 40% capital increase
Isda chair on twin threats facing OTC market
Capital a “sword of Damocles”, says Litvack; cleaner CSAs will fix valuation woes
Bloomberg works with banks on FRTB data pool
Pooling market risk factor data could cut capital requirements