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.
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
Capital sums set to drive FRTB desk decisions
Using Volcker desk structure may hurt model approval chances, banks say
FRTB data standards seen as threat to emerging markets
Need for 'real' prices will limit use of models, increasing capital burden
Dealers 'getting very creative' ahead of FRTB implementation
FRTB will force banks to rethink the structure of their businesses
Banks brace for assault course of FRTB implementation
Dealers face test of endurance to win model approval and avoid penal standardised charge
South African banks may pool quants to tackle FRTB
Senior trader fears banks don't have quant resources to meet FRTB deadline
Supporting a new approach to risk management
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Final FRTB is a game of give-and-take, say dealers
Relaxation in some areas of Basel market risk rules offset by harsher treatment in others
Extreme value theory has hidden risks, research finds
Method for calculating capital based on sparse data can lead to additional model risk
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