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.
Credit risk capital models hanging by a thread in the US
Industry insiders expect Fed to drop IRB and IMM when adopting Basel III, but market risk models may survive
Fortunes of VAR: dealers decry effect of war on risk models
European banks with large Russian derivatives exposures face risk of backtesting exceptions – and higher capital requirements
US banks anticipate delay to Basel III implementation
New Fed supervision head expected to align schedule with EU and Japan, but time is tight
Isda broadens FRTB carbon trading study to win over sceptics
New study shows risk weights too high for US markets, but data from 2008 still missing
FRTB capital quirk for sovereign bonds bewilders banks
EU treatment of govvies under internal models is worse than standardised approaches
Technology vendor of the year: Bloomberg
Risk Awards 2022: Data giant delivered risk analytics, while playing key role in Libor transition
EU banks fear outlier status on non-modellable risk charges
Dealers face disadvantage if EU implements more granular and costly version of FRTB than US, UK
UBS sees $20bn RWA impact from Basel III
Increase expected to materialise by 2024 following the implementation of new rules on FRTB, CVA, credit and operational risk
Estimating future value-at-risk from value samples, and applications to future initial margin
This paper discusses several methods to estimate fVaR or margin requirements and their expected time evolution, from simple options to more complex interest swaps.
EU offers reprieve for fund-linked derivatives trades
Banks hope FRTB draft allowing fund managers to supply standardised inputs will cut risk weights
The FRTB challenge: banks brace for further uncertainty
The widely anticipated implementation of the Fundamental Review of the Trading Book (FRTB) hit another obstacle when the Basel Committee on Banking Supervision pushed back the roll-out by another year to January 2023. With different jurisdictions…
New FRTB timeline makes Europe’s reporting phase ‘obsolete’
European Commission pencils in capital requirements to start at the same time as reporting exercise – or even before
Basel crypto rules: bad for traders, good for risk managers?
Practitioners divided over potential bank capital treatment for assets with no intrinsic value
EU’s Basel delay could cause problems for Japan
Asia Risk Congress: unaligned timetables creates difficulties for Japan's megabanks
FRTB starts ‘tug of war’ between front and back offices
Risk USA: dealers face trade-off between accuracy of pricing models and level of capital charges
Leaked EU proposals show FRTB divergence on carbon trading
EC takes up Isda call to cut standardised risk-weight; unclear if it applies to non-EU markets
Making the cut: EU eyes Isda’s carbon trading proposals
EBA fears suggested treatment of emissions would be misaligned with rest of FRTB
IMA to retain large role in setting market risk capital post-FRTB
Gyrations over 2020 mean a bigger share of market risk requirements could be underpinned by internal models post-reform
After Archegos, a bigger role for XVA desks?
Credit Suisse has stalled on call to expand XVA remit; others think it would have helped, but disagree on how
Isda disputes excessive FRTB charges for carbon trading
EU carbon certificates show lower volatility and higher netting than Basel approach assumes
Banks urged to take action as FRTB implementation nears
While the Fundamental Review of the Trading Book (FRTB) has been a long time in the making, and implementation guidance remains sparse in some jurisdictions, banks cannot afford further delays in deciding their market risk model approach and putting the…
Fed casts doubt on future of Basel internal models in US
Banks warn Fed cannot keep commitment to avoid Basel III capital hike if it forbids models
Range accruals under spotlight as Taiwan prepares for FRTB
Taiwanese banks review viability of products offering options on long-dated rates
The Fundamental Review of the Trading Book and fat tails
Conservative capital buffers may not be enough to protect against tail events