FRTB allows for risk factor (RF) modelling under IMA only where adequate observable data is available. It prescribes a framework for assessment of the modellability of RFs …
FRTB
Threats of Regulatory Arbitrage from Differential Implementation
As befits its name, the Fundamental Review of the Trading Book (FRTB) involves a fundamental change in the paradigm for the regulation and supervision of trading banks.
How an RTD Strategy Document Can Make or Break Trading Desk Profitability
In this article here, we described the significant revisions in the FRTB pertaining to the trading book boundary. The definitions of what activities and instruments can or must go in either the…
What You Need to Know About the New Trading Boundary
FRTB prescribes a new framework for the segregation of the banking and trading books that involves strict definitions and constraints on movements across the boundary.
Evaluating the Costs and Benefits of FRTB
We argued here that the Fundamental Review of the Trading Book (FRTB) remains a critical initiative for the safety and soundness of global markets and banking systems, despite adoption headwinds from some of us in the industry.
Why the FRTB Remains Critical
As the world approaches the 10th anniversary of Lehman’s collapse and the ensuing global financial crisis, memories within the industry are fading along with lessons learnt. It is in this context that the Basel Committee…
GreenPoint Responds to FRTB Consultative Document from BCBS
We agree with the BCBS view that the approach defined for NMRFs is fundamentally sound and does not have design flaws that may lead to disproportionately high capital requirements for some risk factors relative to their risk.
The Basel III Gods Speak Loud and Clear
After much anticipation, the Basel Committee on Banking Supervision (BCBS) released its revised timeline for Basel III implementation setting the “up and running” dates as no later than January 1, 2022…
To FRTB and Beyond
In January 2016, BCBS released revised minimum capital requirements for market risk following their eight-year long Fundamental Review of the Trading Book (FRTB). This framework represents an overarching view…
Managing Non-Modellable Risk Factors under FRTB
FRTB allows for RF modelling under IMA only where adequate observable data is available. It prescribes a framework for assessment of the modelability of RFs based on their observability and other factors, and for capital charges …
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