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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

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