White Paper

Introducing the Fundamental Review of the Trading Book

Company: Calypso Technology

Calypso Technology  case study

Category: Enterprise Risk Management

Published: 02 November 2016

Format:

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Overview

In January 2016, the Basel Committee on Banking Supervision (BCBS) issued a new standard, the Fundamental Review of the Trading Book (FRTB). The aim was to replace the current set of measures under Basel 2.5 with a more coherent and consistent regulatory framework.

The changes suggested within the FRTB rules are sweeping and cover numerous aspects of the trading book – including the definition of trading book vis-a-vis banking book, market/liquidity risk measurement, capitalization, and the supervision of internal risk models.

This white paper will break down all aspects concerning FRTB, and will provide a detailed overview of the new standard. The paper further looks at the key FRTB proposals.

Categories related to Enterprise Risk Management