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 …

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]

This is the Basel Committee’s (“the Committee”) 1 second consultative paper on the fundamental review of trading book capital requirements.2 The revisions to the capital framework set out in this paper aim to contribute to a more resilient banking sector by …

CRR 2 provides for an FRTB reporting requirement under the standardised approach for banks with material market risk positions for the end of 2020 and a reporting requirement for the results of the internal models approach under FRTB for the beginning of 2023 at the earliest.

Fundamental Review of the Trading Book (FRTB) establishes minimal capital requirements for market risk for a bank’s trading desks.

European Commission adopts and publishes a review of EU Banking rules (the Capital Requirements Regulation and Capital Requirements Directive). The package concludes the implementation of Basel III, including FRTB, in the European Union, while taking into account the specific features of the EU's banking sector.

Due to COVID-19 the HKMA has postponed the effective date of FRTB by 1 year to 1st January, 2023 for reporting purposes. The FRTB final rules mainly focus on the five aspects below: The …

For a desk to qualify for the internal models approach, they must pass two tests: a profit and loss attribution test and a backtest. The P&L attribution test compares the profit and loss generated by a bank’s front-office pricing system with the figures generated in the back office for risk measures.

2025年3月3日 · The Fundamental Review of the Trading Book (FRTB) is a set of market risk capital rules designed to replace a series of patches introduced after the financial crisis. It …

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。...