1. about
  2. solutions
  3. Insights
  4. Careers

FRTB: Changing the Game for Financial Institutions

Categories: Capital Markets
  • FRTB: Changing the Game for Financial Institutions
    Overview, Analysis, and Technology Implications of the New Basel Rules

The Fundamental Review of the Trading Book (FRTB) is a major new regulation that will have profound implications across the banking industry. The new rules include, among other changes, a new definition of the boundary between trading and banking books, the replacement of Value-at-Risk with Expected Shortfall as the basic risk measure for internal models, and a new standardised approach to measuring market risk. FRTB also specifies that model approval and testing should be performed at the “Trading Desk” level and provides some guidelines on how to define this.

Key Topics include:

  • FRTB Implementation timeline
  • Review of SA-MR and IMA rules
  • Expected capital impact
  • Implications for trading book business strategy
  • Recommended IT infrastructure & analytics enhancements
  • Computational upgrades required to support breadth of internal modeling calculations

Source: Asia Risk

Share This Story!


Press Contact

Yuni Iwata
T: +1-415-530-4000

Link With Us

Integrated suite of cross-asset trading and risk management solutions

Calypso is the leading provider of innovative cross-asset front-to-back technology solutions for complex financial markets. We provide clients with a single platform that enables system consolidation, business innovation and growth at the enterprise level across trading, risk management, processing and accounting.

© 2018 Calypso. All rights reserved - Terms Of Use - Privacy Statement Contact Us
Back To Top