frtb (5)

Boris: Hello ladies and gentlemen and welcome to our meeting. We are speaking today with Richard Moss who is a Product Manager at AxiomSL. As we move from VAR to expected shortfall regulation coupled with the focus on liquidity, I thought of sharing a perspective on one of the hottest regulations around the corner - the Fundamental Review of the Trading Book (FRTB).

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You can watch a video recording of the interview here https://www.youtube.com/watch?v=BVcJleqmIbU&t=2s

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This has resulted

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Arguably the fundamental review of the trading book is one of the largest regulatory overhauls impacting market risk in the last decade. FRTB is set to revise the trading book and banking book boundary whilst creating more detailed and consistent standards across the industry. For many financial institutions FRTB has been and continues to be a major focal point. A project of this scale and scope requires careful attention and consideration, however as we inch ever closer to full implementation m

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As the FRTB implementation race begins, it is crucial that banks now get a thorough understanding of the structure of trading desks, refine operating models and the front office and transform the market risk infrastructure effectively in order to meet the so called ‘FRTB standard’. With less that 18 months to go, banks are under pressure to develop high quality and consistent projects that will minimise the risk of capital charges and ensure integrity across the front office, risk and finance de

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Ahead of the Fundamental Review of the Trading Book Summit taking place April 19-20, the Center for Financial Professionals have reviewed the Finalisation paper for the revised capital standard for market risk. Presenters and panelists will be presenting their findings of the paper and amending sessions in line with the changes.

With the Basel III capital framework for trading activities weaknesses being highlighted, resulting in undercapitalized trading book exposures ahead of the 2007-8 financi

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In challenging markets with stringent regulations, Customer-Driven Derivatives business goes on, someone somewhere has to earn bread. Practitioners including risk managers need to grasp the full picture, from models to products, from risk features to hedging, regulatory requirements to economic values.

Understanding and managing risks is a common denominator across trading, quantitative modelling and risk management. Financial institutions must optimise to stay competitive or alive.  My new book

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