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White Paper - Introducing the Fundamental Review of the Trading Book

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Calypso financial engineers Rubin Rajendram, Mike deVegvar and Pardha Viswanadha, provide an overview of BCBS d352, also known as the “Fundamental Review of theTrading Book (FRTB)”

In January 2016, the Basel Committee on Banking Supervision (BCBS) issued the standards for the minimum capital requirements for market risk, also known as the “Fundamental Review of the Trading Book (FRTB).” FRTB is aimed at replacing the current set of measures under Basel 2.5 with a more coherent and consistent regulatory framework. The changes suggested within the FRTB rules are sweeping and cover numerous aspects of the trading book – including the definition of trading book vis-à-vis banking book, market/liquidity risk measurement, capitalization, and the supervision of internal risk models.

 

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