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 rise of KVA: how 10 banks are pricing the capital crunch
Risk survey shows new add-on is gaining acceptance and could reshape the swaps business
KVA losses would outweigh FVA – Risk survey
Respondents reveal huge gulf in pricing for generic swap
BoJ and JFSA officials seek bank capital clarity
BoJ’s Nakaso suggests moratorium after current rule-book changes are complete
New trading book QIS tackles correlation gripes
Changes proposed for correlation, exotic derivatives and hard-to-model risks
GFMA, IIF, Isda plan liquidity lobbying push
Draft report urges regulators to consider impact of FRTB and FTT on markets
FRTB will add to liquidity woes, warns hedge fund CIO
New trading book rules will “make the situation worse, not better” says Napier Park's Dorfman
Standardised approaches pile up capital and data woes
Banks round on one-size-fits-all rules for market, credit and op risk
Dealers slam Basel plans for hard-to-model trading risks
FRTB would prevent modelling for too many risk factors, critics claim
Basel considers U-turn on fourth trading book QIS
Industry lobbying prompts regulator to revive plans for a further impact study
Banks find huge capital jump in FRTB impact study
QIS shows five-times increase under revised standardised approach to market risk
In-depth introduction: Bonds
Interplay between rules could reshape demand for government debt
Banks struggle to make strategy calls as rules pile up
Isda AGM: Interaction between some rules “very, very convex”, says Deutsche exec
Basel lacks data to judge FRTB impact, critics claim
Isda AGM: Proposed trading book rules are “nuts”, says Ramambason of BNP Paribas
Banks see clash in Basel's trading and banking book work
Draft rules on interest rate hedging could set back arbitrage fix, critics claim
Basel scraps plans for final trading book QIS
Banks fear regulators will not have enough data to draw up sound rules by year-end
Q&A: Finansinspektionen's Uldis Cerps on capital floors and too-big-to-fail
Floors framework should not overstate risk, says Sweden's bank supervision chief
Trading book fears grow as rules enter home straight
Hedging threatened by treatment of liquidity and diversification, critics claim
CVA switchback will hit bank capital ratios, EBA says
One bank faces 3% hit to equity ratio if EBA proposals accepted
Banks claim trading book rules will hit hedges
Regulatory measures of risk would leap 133% for some positions, warns ING
Basel rates split heralds soft landing, banks hope
First consultation paper on banking book interest rate exposure is expected in March
Fundamentally uncertain
Content provided by IBM and Risk.net
Fundamentally challenging: How banks are getting to grips with FRTB
Content provided by IBM
Expected shortfall: end of the back-test quest?
Quants propose three ways to back-test expected shortfall – each more efficient than the regulatory version
In-depth introduction: Expected shortfall
Weird or pragmatic: VAR-based back-tests for expected shortfall