GARP London Chapter: "Challenges Behind the Implementation of the FRTB Framework"

The Fundamental Review of the Trading Book (FRTB) is a Basel Committee on Banking Supervision initiative to overhaul trading book capital rules, with the aim of replacing the current crop of measures under Basel 2.5 with a more coherent and consistent framework.
Event information
Date 19th October 2016
Venue BBA, 105-108 Old Broad Street, London, EC2N 1EX
Event types:
Conferences


The FRTB is vast in scope and touches upon a number of complex but pivotal issues - from the design of the basic model used to measure risk, to the process for deciding what sits in the banking and trading books. While Basel 2.5 was implemented in the immediate aftermath of the financial crisis as a stop-gap measure to lift trading book capital requirements, the FRTB is primarily aimed at consolidating existing measures and reducing variability in capital levels across banks. ISDA and its members welcome the switch to a more streamlined, consistent market risk framework, and have been working constructively with regulators to help hone the rules.

A huge amount of progress has been made. But given the scale of the overhaul and the complexity of the issues, it's important all elements are fully tested before the framework is finalised. Without comprehensive assessment, the objectives of a globally consistent and coherent capital framework may be undermined.

The panelists will leverage their experience over the last few years being both part of the Industry working group supporting elements of implementation and advocacy, will provide an overview of the various challenges behind implementation of the FRTB framework.

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