FRTB Special Report 2017
Banks are learning to live with the Basel Committee for Banking Supervision’s new market risk standards – the Fundamental review of the trading book – and have begun to focus their implementation efforts on those portions of the rules that have the highest value-add for their business lines.
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FRTB: a Sisyphean labour
Banks continue to struggle with ever-shifting regulatory parameters
Fast and accurate KVA using AAD
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Basel group shake-up has banks hoping for FRTB changes
Barger and Durand replaced by BoE's Nesbitt; banks want fresh look at P&L test
Inconsistent FRTB model guidance vexes dealers
Risk models pulled in opposite directions by P&L attribution test and non-modellable risk factors
FRTB: Basel guidance on backtesting frustrates dealers
Dealers blast “illogical” carve-outs for backtesting exceptions
Crowd trouble: the FRTB’s war on basis risk
FRTB will lead to build-up of risks around liquid benchmarks, dealers warn
Seizing the opportunity of transformational change
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