The Fundamental Review of the Trading Book (FRTB) is a comprehensive suite of capital rules developed by the Basel Committee on Banking Supervision (BCBS) as part of Basel III, intended to be applied to banks’ wholesale trading activities.
FRTB aims to introduce robust standards for managing market risk and the computation of minimum capital requirements. The regulation solves several problems, not least those associated with rolling risk and adjusting VaR (Value at Risk). With that comes a raft of challenges for the banks. Firms need access to more data and stronger analytics to meet risk management and reporting requirements, to better align reporting functions and introduce system and infrastructure changes.
We have boiled it down to 6 key areas where challenges need to be addressed before banks can report honestly to the regulator: The Implementation of the Fundamental Review of the Trading Book.
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