tracker
">

Fundamental Review of the Trading Book

Over the last few years, the Basel Committee has made a number of specific changes to the regulatory rules for the trading book, focusing mainly on RWA calculations based on internal models.

As a result of the Fundamental Review of the Trading Book (FRTB), the regulatory focus has shifted even more towards market risk topics: the goal is a substantial revision both to the standardised approach and to internal models taking effect 2019. Many topics are part of the changes - e.g. the redefinition of the boundary between trading book and banking book, the replacement of value-at-risk by expected shortfall, and recognition of market liquidity risk. To finalize the paper, a multi-stage Quantitative Impact Study (QIS) was conducted in order to gather the data needed to calibrate the new standardised approach and the parameters for internal models. The final version of the new Basel framework can be found here.  There are some major changes compared to the last version for the new rules. We are happy to provide you with our short summary of these changes.

 

Learn more about the new boundary and the relationship between standardized approach and internal model.

 

 

With our expertise and market overview we are supporting clients

  • working in projects on regulatory or internal impact studies
  • developing tools to help significantly reduce the effort to conduct the QIS and improve reliability of its results, including an  application to calculate RWAs according to the current revised standardized approach (SA-TB)
  • assessing the potential effects of the fundamental review on processes and systems and to describe and plan implementation scenarios


Benefit from our experience gained through numerous trading book projects. We look forward to hearing from you.

 

To receive detailed information on our trading book references, on our approach to the topic of the "Fundamental Review of the Trading Book", and on how we can support you, call us on +49 69 907370 or email us at marketrisk@remove-this.d-fine.de, with the subject line "Fundamental Review".

Click here for further information on our consulting services in the area of market risk.