New paper provides analysis in support of the removal of the 3bp PD floor set by the BCBS under the internal models approach for FRTB.
December 7, 2022The FRTB treatment of equity investments in funds is "excessively conservative" and could prompt banks to reduce their activity in the sector, ultimately weakening the market.
January 14, 2022ActiveViam was recognised for its FRTB Accelerator, which provides pre-packaged but configurable source code to compute capital requirements for market risk.
December 10, 2021APRA says it has observed weaknesses in banks' Risks-not-in-VaR frameworks and inconsistencies in the calculation of the capital add-ons applied.
May 19, 2021The changes to correct the deficiencies will result in an overall absolute increase in risk-weighted assets of about EUR 275 billion.
April 25, 2021In-memory analytics tools allow even the most complex of regulatory calculations to be performed in minutes or seconds rather than hours.
April 24, 2021The first consultation sets out adjustments to Pillar 3 templates to reflect the revised market risk framework; the second consults on voluntary disclosure templates for banks' sovereign exposures.
November 15, 2019European legislators have reportedly agreed to initially introduce only the reporting requirements under FRTB and delay the capital requirements.
December 13, 2018An IHS Markit survey of 34 banks in North America, Europe and Australia suggests the industry needs to move more quickly to get their target risk architectures for FRTB in place by 2022.
September 20, 2018