FRTB : An Easy Intro
The Fundamental Review of the Trading Book or the FRTB regulations are a total shift in the regulatory rules and will be in effect from 2019. The body behind these changes is the BCBS (Basel Committee on Banking Supervision) at the BIS. Our aim is to make these difficult rules easy to follow and easy to implement. Please use the comments section to give us feedback and ask for any help / advice. There are some core changes in the rues for risk :
- Move from VaR to ES
- make the boundary between banking and trading book more explicit
- bring in liquidity horizons into the risk measure
- a mandatory standard approach
You can read more about the changes here. Its a high level summary for anyone to get a start. We also have various pieces on risk methods and how to measure risk on the site. Over time we will also be adding excel examples which are free to use. There are articles in this site which delve into the details on some of the specifics of these rules. Please feel free to read and send us feedback. We will be adding more over time, so also be sure to keep checking back. If you have any questions don’t be shy, just ask. If we can we will answer your question.
We also look at more than just the rules. We also look at the practical aspects. How will these rules be implemented? What are the costs? The implications? This article here considers some of the tech aspects. This article looks at the huge volume of data that will be generated and why. These rules are complex and will require big changes. We hope to make it simpler to understand the changes that are needed. The aim is to ultimately be a one stop resource for people in the industry. We hope that the information we provide can help make the move to FRTB rules easier and simpler.