Fundamental Review of the Trading Book

As a result of the Fundamental Review of the Trading Book (FRTB), the Basel committee published new standards in January 2016. A new consultation paper  intends to address challenges faced by banks during the implementation. The proposal refers to all parts of the FRTB -  the redefinition of the boundary between the trading and banking books, the new standardised approach and new requirements for internal models. View our short summary of the proposals here.


Learn more about the new boundary and the relationship between standardized approach and internal model (talks at the FRTB Summit 2016 and 2017, Center for Financial Professionals, London).


With more than 20 years of experience in market risk projects, our market overview and in-depth knowledge of regulatory processes we support our clients with:

  • Impact studies
  • Project planning
  • Design, implementation and testing
  • Support of the regulatory approval process for internal models

We take into account all aspects of the FRTB - as well as the specific requirements of your trading strategy, risk management and IT infrastructure. In our projects we cover:

  • Analysis of critical positions in your current trading and banking books subject to a potential re-designation due to the new rules
  • Set-up of processes for compliance with the new standards for internal risk transfers
  • Calculation of the new capital requirements according to the standardized approach using d-fine’s SA-TB tool - for Basel III monitoring, as prototype and for the validation of your implementation
  • Migration of current VaR and IRC models to ES and DRC models
  • Integration of varying liquidity horizons for risk factors and non-modellable risk factors into the calculation of capital charges
  • Validation of the internal model including extended backtesting and P&L attribution
  • Planning and support of the approval process for the new internal model: from preparation of the application package to ongoing support of the communication with regulators
  • Support on decisions regarding functional and technical architecture as well as system selection processes


Benefit from our experience gleaned 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, please call us on +44 20 7776 1000 (UK), on

 +49 69 907370 (DE) or email us at, with the subject line "Fundamental Review".

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