2013年10月31日 · The Basel Committee on Banking Supervision has today issued a second consultative paper on the fundamental review of capital requirements for the trading book. The paper comprises a detailed set of proposals for a comprehensive revision of the …

Internal risk transfers (IRTs) allow banks to focus their derivative hedging activity in the trading book, which may be better positioned to execute trades efficiently, as well as to monitor counterparty limits, contributing to better risk management of the bank.

The Fundamental Review of the Trading Book (FRTB), is a set of proposals by the Basel Committee on Banking Supervision for a new market risk -related capital requirement for banks. [1][2]

2024年8月7日 · frtb標準法規範拆分為三個計提架構：敏感性風險計提、違約風險計提、殘餘風險計提。 其中敏感性風險計提架構可視為FRTB新標準法的計算主軸，且其與現行標準法之市場風險計提架構亦較為相似，皆為先針對資產做風險分類後，再進行後續的風險性加權計算。

Changes in bank capital ratios under the proposed market risk framework compared to the current market risk framework; and how this change relates to the overall Basel III capital requirement.

The FRTB introduces major front-to-back office framework changes, such as enhanced disclosure and increased requirements for risk-finance alignment. A robust set of FRTB-compliant processes and controls is key.

FRTB 2.0: The New Market Risk Framework 1. Overview and timeline On 14 January 2019, the Basel Committee (BCBS) pub- lished the new “Minimum capital requirements for mar-ket risk”. These finalise the revisions of the Fundamental Review of the Trading Book (FRTB) [1] and constitute the last building block of the Basel III reforms [2].

Plan for specialized RTDs such as the Internal Risk Transfer (IRT) desk, new roles for the xVA desk, and the securitization desk; Create solutions for capital cliffs and capital floors; Budget, plan, and manage the FRTB implementation process in a manner most appropriate for your jurisdiction and bank position

The new regulations within the framework of the Fundamental Review of the Trading Book (FRTB) include a stricter separation of positions between the trading and banking book, the introduction of a new standardised approach for market price risks as well as revised regulations on the use of internal models.

2008年の世界金融危機によってもたらされた問題を受けて策定されたFRTBは、銀行のホールセール取引業務に適用される最低規制資本要件を定めた一連のグローバルな規則です。 この規則は、金融危機後にトレーディング勘定で見られたような金融システム全体に広がる損失（システミックロス）を防ぐために策定されたものです。...