Coronavirus Crisis Highlights Need for More Informed Risk Calculations
Calculating risk sensitivities—the main point of FRTB—took on new importance as the markets dropped amid the Covid-19 global pandemic.
The novel coronavirus has wreaked havoc on the market as firms execute their business continuity plans. More than a decade after the financial crisis, the escalating global pandemic is testing the industry’s ability to withstand sudden, violent jolts. One upcoming regulation—the Fundamental Review of the Trading Book (FRTB)—could serve as a navigation system for such stormy seas.
Introduced in 2016 and slated to go live at the start of 2022, FRTB will require banks to calculate the
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