FRTB – impact on business strategy

FRTB (or Minimal Capital Requirements for Market Risk, as BCBS would like us to know it now that it’s past the review stage, although I will keep using FRTB) has clearly non trivial impact on how a regulated organization will handle its Market Risk. But the F in...

New market risk regulations – FRTB-CVA

CVA is where most of the losses suffered by the banks in 2008-2009 happened, yet Basel 2 had no requirement to capitalise it.  A patch, Basel 2.5, came in pretty quickly on the heels of the crisis to cover this glaring hole, but as any hot-fix, it had problems of its...

FRTB Webinar

FRTB: Strengthening Market Risk Practices? Join Quantifi and Kauri Solutions on 25th January 2017 (3pm UK/4pm CET/10am EST) for this complimentary webinar ‘FRTB: Strengthening Market Risk Practices?’ In July 2015, the Basel Committee proposed the FRTB-CVA framework....

New Market Risk Regulations – Trading Book

In the last post I looked at the new overall market risk regulation, and its split into Trading Book (TB) and CVA. In this note I will focus on FRTB-TB. The major changes that FRTB-TB brings can be summarized as: Much stronger and prescriptive separation of trading...

10 Greatest FRTB Challenges Facing Banks

The FRTB regulations will mean a huge change for banks and their capital regimes. Any great change to a regulatory regime comes with a lot of challenges and we wanted to look at the 10 greatest FRTB challenges facing financial institutions as a result. Strategy...

Risk Theoretical PnL under the FRTB

Risk Theoretical PnL One of the areas that is causing some concern and confusion is the idea of the Risk Theoretical PnL that is quite prominent in the FRTB regulatory paper from the BIS. The idea behind this is better alignment of risk models to front office pricing...

FRTB – Backtesting and P&L attribution

FRTB Model Validation Framework One of the big areas of change in the FRTB regulations is that the regulators will be far more prescriptive about model validation. What this means is that banks will be required to carry out quite stringent backtesting of the their...

FRTB : A Summary of the Regulations

FRTB Summary The Fundamental Review of the trading book or FRTB regulations had the final paper released by the BIS on the 15th Jan 2016. You can download this paper here for your perusal, but read on to get a short and succint summary. I will be posting more more...