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.
Basel may soften trading book rules on emissions
Latest FRTB tweaks also include increasing granularity of commodity risk weights
Talent drought threatens risk management, say firms
“Most acute shortages” are in operational risk, say recruitment consultants
FRTB may lead banks to take more risk, says Deloitte
Analysis shows some trading desks receive lower capital with stressed market risk charge
Fundamentally fraught: the chaotic last weeks of the FRTB
Quick fixes should have no place in a sweeping three-year reform project
Bafin's Hufeld: op risk modelling 'almost impossible'
AMA can go, but other models will stay, Felix Hufeld tells Risk.net
Basel Committee readies op risk and FRTB releases
Supervisors under pressure to finalise post-crisis reforms to capital rules
FRTB: the nightmare before Christmas
Unwanted gift will be delivered, say regulators, and only its size is up for debate
Statistical spin may decide severity of trading book rules
Capital increase levied by Basel Committee could depend on use of mean versus median
Pillar 2 'unlikely to cushion' trading book capital impact
Pillar 1 capital hike likely to outstrip any Pillar 2 add-ons, say dealers
FRTB: Systems readiness assessment
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Trading book QIS: residual risk is 'killing everybody'
Residual risk add-on more broadly applicable than first thought under Basel rules
Reining in capital models is bad for risk management
AMA's likely demise is latest sign of worrying trend in bank capital rules
UK banks won't face FRTB capital hike – BoE official
Policy expert says most trading risks already captured under Pillar 2 framework
The rise of KVA: how 10 banks are pricing the capital crunch
Risk survey shows new add-on is gaining acceptance and could reshape the swaps business
KVA losses would outweigh FVA – Risk survey
Respondents reveal huge gulf in pricing for generic swap
BoJ and JFSA officials seek bank capital clarity
BoJ’s Nakaso suggests moratorium after current rule-book changes are complete
New trading book QIS tackles correlation gripes
Changes proposed for correlation, exotic derivatives and hard-to-model risks
GFMA, IIF, Isda plan liquidity lobbying push
Draft report urges regulators to consider impact of FRTB and FTT on markets
FRTB will add to liquidity woes, warns hedge fund CIO
New trading book rules will “make the situation worse, not better” says Napier Park's Dorfman
Standardised approaches pile up capital and data woes
Banks round on one-size-fits-all rules for market, credit and op risk
Dealers slam Basel plans for hard-to-model trading risks
FRTB would prevent modelling for too many risk factors, critics claim
Basel considers U-turn on fourth trading book QIS
Industry lobbying prompts regulator to revive plans for a further impact study
Banks find huge capital jump in FRTB impact study
QIS shows five-times increase under revised standardised approach to market risk
In-depth introduction: Bonds
Interplay between rules could reshape demand for government debt