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.
Can the US FRTB revamp make the IMA great again?
Banks are finally presented with a viable internal models framework under Basel III’s market risk rules
Eight US dealers set to dodge FRTB application
Revised trading-activity thresholds would narrow scope of market risk framework
HSBC, Mizuho, US Bancorp ensnared by endgame CVA rule
Notional-based backstop leaves most banks exempt from capitalising non-cleared trades
US blows the floors off Basel III
Barr criticises “downward deviations” in US rule; Bowman rejects “blind adherence” to global standards
Basel III endgame – a timeline
A review of Risk.net’s coverage of the US implementation saga
Leaked EU plans offer extra temporary relief for FRTB models
Risk factors would need only two observations to be modellable. Do changes foreshadow US Basel III?
FRTB internal models: quo vadis?
Two risk experts explore how to adjust the FRTB framework to promote internal model usage
US regulators bid to save FRTB IMA, but it’s no small task
Even if industry wish-list is granted, a 2028 start date might be too soon for model adoption
Long way round: EU banks lament credit spread saga
EBA ditches some of banks’ preferred qualitative reasonings – and shortcuts – for CSRBB exclusion
Exceedance-based backtesting of expected shortfall
The authors apply exceedance-based validation techniques often used for VaR model validation the the validation of ES models, showing such an application to be feasible.
Nomura’s new global markets strategy: less risk, more return
Japan’s top dealer is moving away from risk warehousing, chasing real money clients and going global
The state of IMA: great expectations meet reality
Latest trading book rules overhaul internal models approach, but most banks are opting out. Two risk experts explore why
FRTB (SA) product of the year: Bloomberg
A globally consistent and reliable regulatory standardised approach for FRTB
Basel Committee members ‘buying time’ before fixing FRTB mess
Despite inconsistencies today, regulators maintain they want to align global regime eventually
Nomura shuffles risk methodology team
Epperlein takes advisory role six months after Japanese bank’s FRTB IMA go-live
US banks hoping for end of DFAST global market shock
As Fed consults on stress-test reform, lobby group argues regulator is double-counting market risk
CVA capital charges – the gorilla in the mist
The behaviour of CVA risk weights at US banks in 2020 hints at the impact of the Basel III endgame
Technology vendor of the year: SS&C Algorithmics
Risk Awards 2026: From cloud, to chips, to maths tricks – vendor getting more out of existing tech
NMRF framework: does it satisfy the ‘use test’?
Non-modellable risk factors affect risk sensitivity and face practical and calibration difficulties, argue two risk experts
EU’s FRTB multiplier risks picking winners and losers
Attempts to find capital-neutral way to implement new rules might create unlevel playing field
Market RWAs climb to new highs at top Chinese banks
Bank of China, China Construction Bank and Shanghai Pudong Development Bank set records for second successive quarter