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.
Doubts grow over US FRTB implementation
Fragmented roll-out would price European banks “out of the market”
Webinar: Measuring the return of improved data management
Sponsored by Oracle
Webinar: Solving the FRTB puzzle
Sponsored webinar: IHS Markit
Basel group shake-up has banks hoping for FRTB changes
Barger and Durand replaced by BoE's Nesbitt; banks want fresh look at P&L test
Basel takes flak over FRTB impact assessment
Market participants say capital hit has been underestimated
Inconsistent FRTB model guidance vexes dealers
Risk models pulled in opposite directions by P&L attribution test and non-modellable risk factors
HSBC shakes up risk analytics team
Internal memo attributes changes to increased demand for analytics
Harnessing new technology
Sponsored Q&A: Risk Technology Rankings 2016 | Murex
FRTB: Basel guidance on backtesting frustrates dealers
Dealers blast “illogical” carve-outs for backtesting exceptions
Crowd trouble: the FRTB’s war on basis risk
FRTB will lead to build-up of risks around liquid benchmarks, dealers warn
Identification and capitalisation of non-modellable risk factors
Adolfo Montoro, Tim Becker and Lars Popken propose techniques for systematically capturing and categorising non-modellable risk factors and risk-adequate aggregation
EC gold-plating of FRTB raises risk of global divergence
Some interpret draft CRR II changes to NMRF framework as raising the bar for compliance
Market risk technology vendor of the year (system): Murex
Risk Awards 2017: 30-year-old incumbent moves with the times
Market risk technology vendor of the year (specialist): CompatibL
Risk Awards 2017: XVA and reg specialist finds "perfect use case" for maths trick
The right strategy for a head start on FRTB
Sponsored Q&A: Murex
Sponsored video: Interview with Bruno Castor, Murex | Part 2
Fulfilling FRTB requirements
Sponsored video: Interview with Bruno Castor, Murex | Part 1
How banks can cope with the demands of FRTB
FRTB will spark rise in basis risk, firms warned
Dealers using standardised approach may be incentivised to push clients towards less precise hedges
Risk technology rankings 2016: no bank is an island
Murex, FIS and Calypso take the top spots in this year’s rankings, as banks’ technology needs inspire more collaborative approaches
FRTB’s risk factor framework is more punitive than it seems
Regime’s constraints may mean risk factors drop in and out of modellability far more frequently than dealers think
Review of 2016: turn and face the strange
Post-crisis reform has caused upheaval, but gave recent years a sense of direction; in 2016, that was missing
Doom loop reloaded: CRR II goes soft on sovereign debt
EC dilution of Basel liquidity and market risk rules could create new regulatory arbitrage
Could a phase-in save FRTB?
Regional banks fear they will run out of time to implement FRTB, but a phase-in could set a welcome trend
FRTB survey: internal model approval tops list of bank fears
Two years on from its devising, chunks of the new market risk framework remain 'unworkable'