Tail Risk Hedging

Tail Risk Hedging

Rethinking Risk Measurement and Reporting VOL I

Rethinking Risk Measurement and Reporting VOL I

The FRTB: Concepts, Implications and Implementation


Reforms known as the Fundamental Review of the Trading Book (FRTB) impact every bank with a trading book which in today's world, is virtually every bank.

The FRTB, released by the Basel Committee on Banking Supervision (BCBS) in 2016, revised the minimum capital requirements for market risk to address the shortcomings of the Basel III market risk capital framework. The FRTB is an overarching view of how risks from banks' trading activities and portfolios should be assessed and quantified through a credible relationship with capital requirements.

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The BCBS' principal objectives for the FRTB are to:

> Achieve consistency across jurisdictions

> Have its SA serve as a credible fall-back and a floor for the IMA

> Address existing weaknesses in the IMA - with the overarching motivation of not significantly increasing bank capital requirements.

This book guides the reader towards efficient FRTB implementation, capital measurement and deployment and, most importantly, effective risk management. The FRTB: Concepts, Implications, and Implementation provides a practical overview of the regulatory guidelines and their implications, and what needs to be achieved in terms of implementation.

More Information
ISBN 9781782723240
Navision code MSHA
Publication date 18 Jul 2018
Size 155mmx235mm
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Sanjay Sharma and John Beckwith

Sanjay Sharma is the founder and chairman of GreenPoint Global, a risk advisory, education and technology services firm headquartered in New York. Founded in 2006, GreenPoint has over 380 employees with a global footprint and production and management teams located in the US, India and Israel. Between 2007 and 2016 Sanjay was the chief risk officer of Global Arbitrage and Trading Group and managing director in fixed income and currencies risk management at RBC Capital Markets in New York. His career in the financial services industry spans over two decades, during which he has held investment banking and risk management positions at Goldman Sachs, Merrill Lynch, Citigroup, Moody’s and Natixis.

Sanjay was the co-founder of the RBC/Hass Fellowship Program at the University of California at Berkeley and is an adjunct professor at EDHEC, Nice, in France, New York University’s Tandon School of Financial Engineering and at Fordham University, where he teaches a capstone course on FRTB implementation for their master’s programmes. He has also served as an advisor and a member of the board of directors of UPS Capital, and on the global board of directors for Professional Risk Managers’ International Association.

Sanjay is a frequent speaker at industry conferences and at universities, and is the author of Risk Transparency, published by Risk Books, as well as numerous papers. He holds a PhD in finance and international business from New York University and an MBA from the Wharton School of Business, and has undergraduate degrees in physics and marine engineering. Sanjay acquired his appreciation for risk first hand as a merchant marine officer at sea, where he served for seven years and received the chief engineer’s certificate of competency for ocean-going merchant ships.

John “Jeb” Beckwith is managing director and head of financial institutions at GreenPoint Financial. As leader of their financial intuitions practice, he heads GreenPoint’s development initiatives and clients engagements in providing regulatory, legal and technology solutions to global financial institutions. Jeb was managing director at RBC Capital Markets in 2004, where led several businesses as Head of Americas, Global Financial Institutions, and as founder/chair of the global industry operating committee adjudicating all bank and sovereign risks. A seasoned banking executive with over 30 years’ experience in the management of risk, capital markets, lending and transaction banking practices, he founded Cooper Beckwith, LLC to advise financial institutions on coming regulatory implementation and joined GreenPoint Global in 2016.

Prior to RBC, Jeb held various management and corporate banking positions with increasing levels of responsibility at MUFG, Bank of America and BNY-Mellon. He is an adjunct professor and NYU’s Tandon School of Financial Engineering, where he serves as co-professor of a capstone course on FRTB implementation for their master’s programme, and an adjunct professor for Fordham University, where he is co-professor for a similar capstone course on FRTB implementation.

1. Overview and Impact

2. The Boundary Between Trading and Banking Books Under FRTB

3. Moving from Value-at-risk to Expected Shortfall

4. The Standardised Approach

5. The Internal Models Approach

6. Default Risk Charge: Standardised and Internal Models Approaches

7. P&L Attribution and Backtesting

8. Regulating and Managing Non-modellable Risk Factors

9. Impact of a Capital Floor

10. Managing Regulatory Trading Desk Frameworks

11. Implementation of FRTB Framework

12. Model Frameworks and Management

13. Regulatory Responsibilities and Supervisory Framework

14. FRTB January 2017 FAQ Response and Review