FRTB–Taking Stock of Where We Are Today

Financial regulators had been brewing the market risk framework reform for more than two decades and finally came to revised terms in January 2019. Under the Fundamental Review of the Trading Book (FRTB) regime, larger banks using the internal models approach (IMA) will need to seek IMA approval accordingly, and prepare for any capital add-ons for risk factors that lack sufficient data for modelling, while all other banks are set to implement the standardized approach and report their outcomes to the supervisors as early as this year. 

This report distills the new approaches for calculating market risk outlined by the Basel Committee, and how regulators across Asia, Europe and the US plan to roll out FRTB in their markets. In addition, the report includes the inputs from banking participants on the latest regime, and reflects the challenges—including those of the Covid-19 pandemic and the implications posed by the Libor transition—and the available solutions in the markets.  

 

Download the special report from WatersTechnology Library

 

Sponsored content