2015年10月28日 · The Fundamental Review of the Trading Book (FRTB) aims to tighten regulations around banks' trading activities and capital requirements in response to issues during the 2008 financial crisis. The FRTB imposes stringent new capital rules, removing Value-at-Risk and increasing controls between trading and banking books.

2016年4月25日 · The Fundamental Review of the Trading Book (FRTB) is a major challenge for the banking sector. This new Accenture Finance & Risk Services presentation explores the key implications of the new requirements and highlights key …

2016年11月16日 · This document provides an overview and summary of the Fundamental Review of the Trading Book (FRTB) and the proposed FRTB-CVA framework. Some key points: - FRTB aims to address undercapitalization of trading book exposures and will require firms to rethink processes, strategy, and infrastructure.

2018年4月8日 · The Fundamental Review of the Trading Book (FRTB) is a new Basel committee framework for the next generation market risk. It consists of a standardised approach and an internal model approach. This presentation provides an overview of the standardised approach. See more presentations at http://www.finpricing.com/paperList.html.

2025年1月6日 · Understand the FRTB's Standardised Approach, its features, comparison with Basel 2.5, and key aspects of calculating Risks. This comprehensive guide covers Sensitivity Based Risk Charge, Default Risk Charge, and more.

2023年8月9日 · FRTB, or the Fundamental Review of the Trading Book, is a Basel Committee initiative designed to revamp market risk capital requirements and practices. One of FRTB’s main changes is the shift from Value at Risk (VaR) and Stressed …

ket risk was not adequate enough to cover these risks. Therefore the Basel Committee on Banking Supervision has created with the fundamental review of the trading book (FRTB) a new framework to replace the ol.

Most important is the profit-and-loss (P&L) attribution test, discussed in a feature on pages 4–7 in this report. This test decides whether banks can use their own internal models to calculate market risk, or whether they must revert to the regulator-prescribed sensitivity-based approach (SBA).

2017年3月9日 · The document summarizes the Fundamental Review of the Trading Book (FRTB), which establishes new capital requirements for market risk. It outlines the standardized approach and internal models approach, both of which involve calculating expected shortfall and stressed value-at-risk.

• Relevance for bank portfolio vs. availability of data, i.e. available data often with US concentration. • Finer rating grid may reduce the jump of P&Ls on the tails, but it introduces estimation noise. • The FRTB has introduced a 3bp floor similarly to the the banking book rules.