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.
EBA plans reboot of FRTB’s P&L test
Authority will explore wider range of options than outlined in CRR text
FRTB: a Sisyphean labour
Banks continue to struggle with ever-shifting regulatory parameters
Seizing the opportunity of transformational change
Sponsored Q&A: CompatibL, Murex and Numerix
Fast and accurate KVA using AAD
Sponsored feature: CompatibL
Default risk charge: modeling framework for the “Basel” risk measure
This paper presents a comprehensive model framework for DRC that is compliant with the revised Basel regulatory framework.
A review of the fundamentals of the Fundamental Review of the Trading Book: standard foreign exchange rules are highly asymmetric with respect to reporting currencies
This paper develops a framework to fully characterize the invariance of the Delta capital charge for the FX book under a change in reporting currency.
Solving the FRTB puzzle
Sponsored FRTB forum: IHS Markit
Doubts grow over US FRTB implementation
Fragmented roll-out would price European banks “out of the market”
Webinar: Measuring the return of improved data management
Sponsored by Oracle
Webinar: Solving the FRTB puzzle
Sponsored webinar: IHS Markit
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
Basel takes flak over FRTB impact assessment
Market participants say capital hit has been underestimated
Inconsistent FRTB model guidance vexes dealers
Risk models pulled in opposite directions by P&L attribution test and non-modellable risk factors
HSBC shakes up risk analytics team
Internal memo attributes changes to increased demand for analytics
Harnessing new technology
Sponsored Q&A: Risk Technology Rankings 2016 | Murex
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
Identification and capitalisation of non-modellable risk factors
Adolfo Montoro, Tim Becker and Lars Popken propose techniques for systematically capturing and categorising non-modellable risk factors and risk-adequate aggregation
EC gold-plating of FRTB raises risk of global divergence
Some interpret draft CRR II changes to NMRF framework as raising the bar for compliance
Market risk technology vendor of the year (system): Murex
Risk Awards 2017: 30-year-old incumbent moves with the times
Market risk technology vendor of the year (specialist): CompatibL
Risk Awards 2017: XVA and reg specialist finds "perfect use case" for maths trick
The right strategy for a head start on FRTB
Sponsored Q&A: Murex
Sponsored video: Interview with Bruno Castor, Murex | Part 2
Fulfilling FRTB requirements
Sponsored video: Interview with Bruno Castor, Murex | Part 1
How banks can cope with the demands of FRTB