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...

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...