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.
Structured products: The new value chain
Sponsored Q&A: Murex
Risk España Rankings 2016
Global banks advance in the scramble for supremacy
IFRS 9 packs bigger punch than Basel changes, say bankers
Capital hit from new loan loss accounting rules to rival incoming Basel regulations
European regulators resist Basel risk models clampdown
EU authorities express concern over move to less risk-sensitive capital requirements
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?
Content provided by IBM
Forming FRTB action plans: Tactical versus transformational
Content provided by IBM
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