The Fundamental Review of the Trading Book – Tackling a new approach for market risk
The FRTB introduced some major changes in the market risk framework targeted to go live in 2018 which have introduced some major challenges for banks. The three biggest changes the BCBS has introduced are:
- The use of Expected Shortfall rather than Value at Risk as the basis for calculating the regulatory market risk regulatory capital requirement
- Profit & Loss attribution at desk level
- Boundary classifications between the banking and trading book and the definition of a trading desk
Those are potentially a very costly changes which, if not supported by senior management across the board, may prove to be a futile exercise.
This White Paper deconstruct those challenges into their elementary components and brings forward some concrete technology solutions to help meet these challenges.
Our product suite ActivePivot was designed to sit unobtrusively within a bank’s current architecture obviating the need for costly rip and replace programmes and thus avoid a “big bang” approach to meet the new standards.
The migration to FRTB should be seen as a journey. Talk to us to see how we can make this journey as smooth and uneventful for you.