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.
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
Regulators have 'keen interest' in FRTB liquidity effect
Isda AGM: Japan central banker says regulators should analyse liquidity impact of capital rules
FRTB packs bigger-than-expected capital punch
Industry study challenges regulators' estimate of a 40% capital increase
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
Content provided by IBM
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