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...