2022年11月15日 · This package of 11 draft technical standards specifies essential aspects of the Internal Model Approach (IMA) under the Fundamental Review of the Trading Book (FRTB) and represents an important contribution to a smooth and harmonised implementation of the FRTB in …

First, the difference between the Internal Model Approach (IMA) and the Standardized Approach (SA) under the Fundamental Review of the Trading Book (FRTB) regulations lies in the level of …

We anticipate a significant effort in implementing and especially customizing the requirements of the new IMA at trading desk level which go far beyond the simple implementation of capital requirements! The FRTB addresses material weaknesses of the current market risk framework exposed by the financial crisis ...

2019年欧洲银行业监管局公布了FRTB合规的四阶段实施路径，计划按照FRTB实施要素的优先级，分阶段通过公布技术标准文档(RTS)、讨论文件（DP）、咨询文档（CP）等方式，支持欧洲银行业统一实施标准，减少合规套利，同时也可以平稳实现Basel II.5向Basel III的合规 ...

the FRTB, banks adopting the IMA noted they would benefit from greater risk sensitivity and granularity within the IMA framework to better align capital with economic risks. º Risk coverage and sensitivity: The IMA, by design, has broader risk coverage and granularity,

These concerns often focus on the subtle nuances of the standardized approach (SA), trading desk eligibility for the internal model approach (IMA) through the P&L attribution (PLA) test, the risk factor eligibility test’s (RFET) definition of observable prices as well as dealing with seasonally traded instrument, and the proxy selection and capi...

FRTB was created to ensure that regulatory market risk models deliver reliable capital outcomes and promote consistent implementation of the standards across jurisdictions.

由于今年新冠疫情的影响， frtb ，也就是新一代的 巴塞尔市场风险监管资本协议 的实施被再次推后了。最新的实施时间为2023年1月1日。frtb对于金融机构市场风险管理的整体框架，包括数据，模型以及组织结构都提出了许多新的挑战。特别是对于中小银行尤其 ...

2024年11月13日 · Internal Model Approach (IMA) The IMA allows banks to use their internal models, subject to regulatory approval and the trading-desk level. It includes Expected Shortfall (ES) calculations, Default Risk Charge (DRC), and Stressed Capital Add-on (SCA).

FRTB improved the Basel 2.5 framework by introducing a clearly defined boundary between the trading and banking books, new standardized approach (FRTB-SA) and internal model approach (FRTB-IMA), as well as new