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.
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.
|Publication date||18 Jul 2018|
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