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.
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
Lining up the fundamentals
Sponsored Q&A: Asset Control, Murex, Vector Risk, CompatibL, Parker Fitzgerald and Numerix
Regulations, sensitivities and adjoints: Using AAD for FRTB and FRTB-CVA
Sponsored feature: CompatibL
Attribution of risk measures for improved risk and capital control
Sponsored feature: GFT
Freeing up the front office
Sponsored feature: Parker Fitzgerald
The decentralisation trap: The FRTB standardised approach
Sponsored feature: Vector Risk
Land of confusion: FRTB and the calculation burden
Sponsored feature: Quaternion Risk Management
No way out: The road to FRTB compliance
Sponsored feature: Murex
Deutsches Risk Rankings 2016
Derivatives dealers offer simplicity as regulatory change continues apace
Banks plan risk factor exclusion to avoid FRTB surcharge
Firms hope to leave out non-modellable risk factors deemed "immaterial"
FRTB: Is your bank on track?
Content provided by IBM
FRTB standard rules cause worries about duplication
Sensitivity-based approach means “we have to do everything twice”, complains one head of trading
Banks fear costs from loss of AAD under simpler FRTB rules
Trading book regime may force use of more expensive and time-consuming ways of computing risk sensitivities