An overview of the fundamental review of the trading book and its impact

Yi Zhan ()
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Yi Zhan: BMO Financial Group, Toronto, ON, M5X 1H3, Canada

Journal of Financial Engineering (JFE), 2014, vol. 01, issue 01, 1-19

Abstract: This paper reviews the key proposals and their impact of the Basel Committee's second consultative paper on the Fundamental Review of the Trading Book: a revised market risk framework published in the end of October 2013. It also makes suggestions on how institutions should response to the proposals.

Keywords: BCBS; FRTB; VaR; expected shortfall (ES); liquidity horizon; IRC; CRM; IDR; standardized approach (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1142/S2345768614500068

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