FRTB Benefits Revealed

Basel Committee's Fundamental Review of the Trading Book (FRTB) standard, replacing VaR, provides better support for stress testing

Martijn Groot, vice president, product strategy, Asset Control

One of the objectives of the Basel Committee on Banking Supervision's Fundamental Review of the Trading Book (FRTB) is to provide institutions and regulators with a more accurate measure of potential losses based on the worst 2.5% of trading days. As financial institutions begin to wrestle with this upcoming regulatory demand, however, the challenges associated with collecting and validating sufficient traded prices and historical market data cannot be underestimated.

FRTB grew as an outcome of