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.
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
Basel trading book review triggers fight for modelling freedom
Regulators have embarked on a wholesale review of the way trading book exposures are capitalised. The industry responded, and continues to lobby – but is it getting anywhere? Laurie Carver reports
Mooted VAR substitute cannot be back-tested, says top quant
Basel Committee should stick with VAR, argues Paul Embrechts of ETH Zürich
Bank groups revise trading book counter-proposals
Industry associations seek to put banks in control of diversification treatment - but propose regulatory safeguards
The false promise of expected shortfall
The false promise of expected shortfall
Isda defends trading book models in response to Basel proposals
Isda pushes alternatives to Basel Committee review of trading book capital rules in leaked comment letter
Forex options traders count the cost of stressed VAR
Costing stressed VAR
Industry split over Basel trading book review
Comment period ends on September 7, but banks are struggling to find common ground
Risk 25 firms of the future: Basel Committee
Implementing rules and filling in gaps
Risk 25 firms of the future: Bank of England
CCPs will not be too big to fail
Risk 25: Cutting edge classics
Don’t say we didn’t warn you