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...