The revised Market Risk Capital regulations widely known as FRTB (Fundamental Review of the Trading Book) is another move of the regulators in the direction of making Standardized Approach more risk sensitive and Internal Model Approach more prescriptive with stricter definitions and capital floors. The objective is to replace VaR with Liquidity adjusted Expected Shortfall models (to capture Tail Risk) and reduce the variability of market risk weighted assets (RWA) across jurisdictions. FRTB will significant impact the capital requirements as well as the entire measurement models and systems framework. The global implementation deadline is 31st December 2019 but most of the global banks have already been working on their strategy for compliance and portfolio rebalancing based on the published drafts & QISs.
We provide the following services to enable FRTB Compliance:
- Trading Book revised definition impact assessment on portfolio classification
- Quantitative Impact Study (QIS) response for Revised Standardized Approach (SA) or Internal Models Approach (IMA)
- Gap & Impact Analysis of current sate versus end state
- Program Design & Management
- Portfolio Rebalancing Strategy
- Development of models, policies and systems implementation support