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.
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'
FRTB survey: banks fear high bar for P&L test
One bank expects all of its desks to fail the P&L attribution test
FRTB survey: risk transfer shake-up hits home
Dealers mull creation of dedicated risk transfer desks but approval process remains unclear
Basel considered axing standardised approach to CVA calculation
Committee discussed axing standardised and basic approaches in recent months, sources say – but ruled out both
FRTB: banks fearful of risk transfer missteps
Short credit and equity positions held in banking book will be caught by market risk capital requirements
FRTB – a timeline
Milestones in the development of the Fundamental Review of the Trading Book
Blueprint for FRTB: Building a future-state business strategy
Sponsored feature: Numerix
SGX risk chief urges Asia lobbying push on FRTB
Asian markets could be stifled by “irrelevant” global standards, warns Koh
FRTB data pooling crawls into action
Dealers voice concerns on data pooling as industry initiative to model risk factors faces significant challenges
Taking the FRTB plunge
Banks entering chilly FRTB waters for first time facing fresh challenges
FRTB sends banks around the bend
Banks uncover hidden challenges of data, computing power and need for joined-up approach
FRTB: a work in progress
Banks cannot wait for clarification but must forge ahead