Bracing for the FRTB: Capital, business and operational impact

Hany M. Farag

Journal of Securities Operations & Custody, 2017, vol. 9, issue 2, 160-177

Abstract: We give an overview of the impact of the new standard of minimum capital requirement for market risk, commonly referred to as the FRTB (Fundamental Review of the Trading Book). We do not attempt to reproduce many formulas or minute details, which can be found in the regulatory text. Instead, we try to give a pragmatic overview which connects the pieces together and informs the reader of the potential actions needed to be taken in light of this new framework in market risk. The FRTB is probably the biggest change in market risk for two decades and is an evolutionary force that requires adaptations by the industry in order for it to continue to thrive. A proactive approach is important and we hope to provide a healthy impetus by highlighting the key aspects of the framework that require attention.

Keywords: fundamental review; trading book; FRTB; market risk; regulatory capital (search for similar items in EconPapers)
JEL-codes: E5 G2 K22 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:aza:jsoc00:y:2017:v:9:i:2:p:160-177

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