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 false promise of expected shortfall
The false promise of expected shortfall
Isda defends trading book models in response to Basel proposals
Isda pushes alternatives to Basel Committee review of trading book capital rules in leaked comment letter
Forex options traders count the cost of stressed VAR
Costing stressed VAR
Industry split over Basel trading book review
Comment period ends on September 7, but banks are struggling to find common ground
Risk 25 firms of the future: Basel Committee
Implementing rules and filling in gaps
Risk 25 firms of the future: Bank of England
CCPs will not be too big to fail
Risk 25: Cutting edge classics
Don’t say we didn’t warn you
Risk.net poll: Industry divided over plan to scrap VAR
Poll on Basel Committee proposal to ditch VAR attracts close to 1,000 votes - with a narrow victory for critics of the metric
US and EU banks face different Basel III floors
Regulators propose overhaul of US capital framework in long-awaited response to Basel III and Basel 2.5 - but there are differences to the European version of the rules
Basel Committee proposes scrapping VAR
Review recommends switch to expected shortfall, postpones CVA charge overhaul, and retains split between banking and trading books
Beyond Basel 2.5: regulators prepare trading book review
Beyond Basel 2.5
Goodbye VAR? Basel to consider other risk metrics
Trading book review will look at replacing value-at-risk, but quants say the obvious alternative - expected shortfall - is not much better