FRTB
WHAT IS THIS? The Fundamental Review of the Trading Book (FRTB) is a set of market risk capital rules designed to replace a series of patches introduced after the financial crisis. It seeks to better-capture tail risk, to redraw the boundary between banking and trading books, and to raise the bar for internal models.
Banks struggle to make strategy calls as rules pile up
Isda AGM: Interaction between some rules “very, very convex”, says Deutsche exec
Basel lacks data to judge FRTB impact, critics claim
Isda AGM: Proposed trading book rules are “nuts”, says Ramambason of BNP Paribas
Banks see clash in Basel's trading and banking book work
Draft rules on interest rate hedging could set back arbitrage fix, critics claim
Basel scraps plans for final trading book QIS
Banks fear regulators will not have enough data to draw up sound rules by year-end
Q&A: Finansinspektionen's Uldis Cerps on capital floors and too-big-to-fail
Floors framework should not overstate risk, says Sweden's bank supervision chief
Trading book fears grow as rules enter home straight
Hedging threatened by treatment of liquidity and diversification, critics claim
CVA switchback will hit bank capital ratios, EBA says
One bank faces 3% hit to equity ratio if EBA proposals accepted
Banks claim trading book rules will hit hedges
Regulatory measures of risk would leap 133% for some positions, warns ING
Basel rates split heralds soft landing, banks hope
First consultation paper on banking book interest rate exposure is expected in March
Fundamentally uncertain
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Fundamentally challenging: How banks are getting to grips with FRTB
Content provided by IBM
Expected shortfall: end of the back-test quest?
Quants propose three ways to back-test expected shortfall – each more efficient than the regulatory version
In-depth introduction: Expected shortfall
Weird or pragmatic: VAR-based back-tests for expected shortfall
Back-testing expected shortfall: mission possible?
Expected shortfall is hard to back-test, critics say – but the search for a solution is underway
Hull and White on the pros and cons of expected shortfall
Expected shortfall may be more conservative than VAR, but there are backtesting and stability concerns
VAR replacement may be too volatile, banks warn
Criticism of expected shortfall has been muted, but concerns are growing
Nordea Markets: speedy trading book revamp "not safe"
Hard to gauge impact of ambitious proposals, says market risk head
Replacing VAR: smaller banks fear expected shortfall workload
Some banks worry they may not have enough data to implement expected shortfall safely
Baskets will suffer in trading book regime, warns HSBC exec
Capital charges will be ‘very difficult to explain’, conference hears
Models could lose appeal under new trading book rules
Rise of standardised approach would be 'a loss for the banking industry'
Banks ask Basel Committee to delay trading book impact studies
Completing the two studies on schedule will be "nigh-on impossible" bankers claim – but regulators are thought to be wary of a postponement
The white elephant of the trading book review
The Basel Committee’s fundamental review of the trading book raises some serious issues, but David Rowe argues its central proposed revision to the market risk capital regime is little more than a costly distraction
Avoid one-size-fits-all capital approach, says Osfi’s Zelmer
Regulators have increasingly been pushing for less reliance on bank internal models, but Osfi’s deputy superintendent of the regulation sector, Mark Zelmer, thinks internal models have a place
Basel Committee drops fixed correlations in new trading book proposals
Banks relieved as revised trading book proposals drop plans for capital to be based on regulator-set correlations