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.
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?
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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
The P&L attribution mess
FRTB model approval regime dogged by confusion and controversy
Banks fear FRTB internal model approval gridlock
UK regulator said to have concerns about the high volume of simultaneous approval requests
Details of vital FRTB model test still up for grabs
Banks argue valuation adjustments should be left out of the model approval process
The growing pull of public cloud for banks and regulators
Adoption by the FCA for Mifid II data reporting indicates public cloud satisfies regulatory, security and reliability requirements
Futureproofing risk management
Sponsored Q&A: Numerix
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
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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?
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Forming FRTB action plans: Tactical versus transformational
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Forge ahead of the FRTB
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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