The Fundamental Review of the Trading Book (FRTB) aims to tighten regulations around banks' trading activities and capital requirements in response to issues during the 2008 financial crisis. The FRTB imposes stringent new capital rules, removing Value-at-Risk and increasing controls between trading and banking books. Banks face significant challenges implementing the new requirements by 2019, including restructuring data and risk reporting to satisfy multiple sub-trading book requirements, ensuring independent profitability of trading desks under new capital charges, and demonstrating adequate internal controls for each trading book.
everis Marcus Evans FRTB Conference 23Feb17Jonathan Philp
everis was Gold Sponsor of the Marcus Evans Conference ‘4th Edition: Impact of the Fundamental Review of the Trading Book’ at Canary Wharf, London on 23-24th February 2017.
This was a timely opportunity to catch up with banks and solution partners as we move into the implementation phase of Fundamental Review of the Trading Book (FRTB) programmes. We heard views and case studies across a range of topics including market risk methodology, operating model definition and data and systems architecture design.
Our presentation at the conference focused on the architectural challenges posed by FRTB.
CH&Cie - Fundamental Review of the Trading BookC Louiza
Arbitrage opportunity Banking book vs Trading book • The classification of assets between the banking book and trading book was unclear allowing arbitrage opportunity for RWA
Outlook and market survey on the fresh Standards for Minimum capital requirements for market risk, published January 14th, 2016.
FRTB will deeply impact banks on IT, process, organization and human aspects.
CH&Co can help banks cope with these changes.
Solving the FRTB Challenge: Why You Should Consider an Aggregation SolutionFIS
Many banks face multiple challenges around market risk, with outdated infrastructure, fragmented systems, and inflexible reporting tools. And now FRTB raises the stakes. The Fundamental Review of the Trading Book is the biggest change in market risk rules that we’ve seen in a generation.
The answer to the FRTB challenge is a centralized aggregation solution that allows you to source required prices from one or more front-office and risk engines, perform bank-wide FRTB calculations using those inputs, and combine the results with intermediate data and expose inputs via reporting and analysis tools.
View our slideshow to learn more about aggregation challenges and why you should consider an external solution.
Overview of the Basel Committee's revised "Minimum capital requirements for market risk" (formerly FRTB), with notes and tips for technical implementation.
everis Marcus Evans FRTB Conference 23Feb17Jonathan Philp
everis was Gold Sponsor of the Marcus Evans Conference ‘4th Edition: Impact of the Fundamental Review of the Trading Book’ at Canary Wharf, London on 23-24th February 2017.
This was a timely opportunity to catch up with banks and solution partners as we move into the implementation phase of Fundamental Review of the Trading Book (FRTB) programmes. We heard views and case studies across a range of topics including market risk methodology, operating model definition and data and systems architecture design.
Our presentation at the conference focused on the architectural challenges posed by FRTB.
CH&Cie - Fundamental Review of the Trading BookC Louiza
Arbitrage opportunity Banking book vs Trading book • The classification of assets between the banking book and trading book was unclear allowing arbitrage opportunity for RWA
Outlook and market survey on the fresh Standards for Minimum capital requirements for market risk, published January 14th, 2016.
FRTB will deeply impact banks on IT, process, organization and human aspects.
CH&Co can help banks cope with these changes.
Solving the FRTB Challenge: Why You Should Consider an Aggregation SolutionFIS
Many banks face multiple challenges around market risk, with outdated infrastructure, fragmented systems, and inflexible reporting tools. And now FRTB raises the stakes. The Fundamental Review of the Trading Book is the biggest change in market risk rules that we’ve seen in a generation.
The answer to the FRTB challenge is a centralized aggregation solution that allows you to source required prices from one or more front-office and risk engines, perform bank-wide FRTB calculations using those inputs, and combine the results with intermediate data and expose inputs via reporting and analysis tools.
View our slideshow to learn more about aggregation challenges and why you should consider an external solution.
Overview of the Basel Committee's revised "Minimum capital requirements for market risk" (formerly FRTB), with notes and tips for technical implementation.
everis was Gold Sponsor of the Marcus Evans Conference ‘4th Edition: Impact of the Fundamental Review of the Trading Book’ at Canary Wharf, London on 23-24th February 2017.
This was a timely opportunity to catch up with banks and solution partners as we move into the implementation phase of Fundamental Review of the Trading Book (FRTB) programmes. We heard views and case studies across a range of topics including market risk methodology, operating model definition and data and systems architecture design.
Our presentation at the conference focused on the architectural challenges posed by FRTB.
Because the VaR starts to be « old fashioned » and not so "Normal" :-), CH&Co. and its GRA team wanted to pay a last tribute to this world famous Market Risk Method.
This paper comes along with a Excel Tool
CH&CO - VaR methodology whitepaper - 2015 C Louiza
In the framework of knowledge promotion and expertise sharing, Chappuis Halder & Co. decided to give free access to the “Value-at-Risk Valuation tool” named in our paper “VaR spreadsheet estimator”. It contains the detail sheets simulations for the three main Value-at-Risk methods: Variance/covariance VaR, Historical VaR and Monte-Carlo VaR. The presented methodologies are not exhaustive and more exist and can be adapted depending on the process constraints.
This paper aims to have a theoretical approach of VaR and define all relevant steps to compute VaR according to the defined methodology. And to go further, it seems important to define VaR for a linear financial instrument. Thus, illustrations to monitor the VaR for an equity stock has been performed with a European call option VaR simulations for a better understanding of the concept and the tool. This article only focuses on VaR but will provide opportunities to open to more quantitative risk indicators as Stress-tests, Back-testing, Comprehensive risk measure (CRM), Expected Tail Loss (ETL) or Conditional VaR… more or less linked with the VaR methodologies…
Challenges in Practical Market Risk Management - a presentation by Anshuman Prasad, Director, Risk and Analytics at CRISIL GR&A made at the 15th Annual GARP Risk Management Convention, New York.
The Fundamental Review of the Trading Book (FRTB) is a major challenge for the banking sector. This new Accenture Finance & Risk Services presentation explores the key implications of the new requirements and highlights key differences with previously published standards. Access this link for more information on FRTB: http://bit.ly/1NnY1RN
Operational Risk Loss Forecasting Model for Stress TestingCRISIL Limited
Presentation on ‘Operational Risk Loss Forecasting Model for Stress Testing – A Three-Stage Approach’ made by Dr. James Lu, Director, Risk & Analytics, CRISIL Global Research & Analytics (GR&A) at The 17th Annual OpRisk North America 2015, New York
In the backdrop of the buzz that Interest Rate Risk in the Banking Book (IRRBB) has generated in the banking industry, Aptivaa is pleased to launch a series of articles providing our perspective on various issues highlighted by our esteemed clients during interactions in the recent months. This post gives an overview of the revised guidelines on IRRBB which has been issued by the Basel Committee, the approaches and the associated challenges in the implementation of IRRBB framework for all internationally active banks.We look forward to your valuable feedback on the current article or the challenges faced by you in IRRBB implementation.
This opinion piece explores the reasons why GreySpark Partners believes that the forthcoming implementation of the Fundamental Review of the Trading Book regulations means that it is imperative that banks rethink their risk infrastructure and develop a plan for compliance.
everis was Gold Sponsor of the Marcus Evans Conference ‘4th Edition: Impact of the Fundamental Review of the Trading Book’ at Canary Wharf, London on 23-24th February 2017.
This was a timely opportunity to catch up with banks and solution partners as we move into the implementation phase of Fundamental Review of the Trading Book (FRTB) programmes. We heard views and case studies across a range of topics including market risk methodology, operating model definition and data and systems architecture design.
Our presentation at the conference focused on the architectural challenges posed by FRTB.
Because the VaR starts to be « old fashioned » and not so "Normal" :-), CH&Co. and its GRA team wanted to pay a last tribute to this world famous Market Risk Method.
This paper comes along with a Excel Tool
CH&CO - VaR methodology whitepaper - 2015 C Louiza
In the framework of knowledge promotion and expertise sharing, Chappuis Halder & Co. decided to give free access to the “Value-at-Risk Valuation tool” named in our paper “VaR spreadsheet estimator”. It contains the detail sheets simulations for the three main Value-at-Risk methods: Variance/covariance VaR, Historical VaR and Monte-Carlo VaR. The presented methodologies are not exhaustive and more exist and can be adapted depending on the process constraints.
This paper aims to have a theoretical approach of VaR and define all relevant steps to compute VaR according to the defined methodology. And to go further, it seems important to define VaR for a linear financial instrument. Thus, illustrations to monitor the VaR for an equity stock has been performed with a European call option VaR simulations for a better understanding of the concept and the tool. This article only focuses on VaR but will provide opportunities to open to more quantitative risk indicators as Stress-tests, Back-testing, Comprehensive risk measure (CRM), Expected Tail Loss (ETL) or Conditional VaR… more or less linked with the VaR methodologies…
Challenges in Practical Market Risk Management - a presentation by Anshuman Prasad, Director, Risk and Analytics at CRISIL GR&A made at the 15th Annual GARP Risk Management Convention, New York.
The Fundamental Review of the Trading Book (FRTB) is a major challenge for the banking sector. This new Accenture Finance & Risk Services presentation explores the key implications of the new requirements and highlights key differences with previously published standards. Access this link for more information on FRTB: http://bit.ly/1NnY1RN
Operational Risk Loss Forecasting Model for Stress TestingCRISIL Limited
Presentation on ‘Operational Risk Loss Forecasting Model for Stress Testing – A Three-Stage Approach’ made by Dr. James Lu, Director, Risk & Analytics, CRISIL Global Research & Analytics (GR&A) at The 17th Annual OpRisk North America 2015, New York
In the backdrop of the buzz that Interest Rate Risk in the Banking Book (IRRBB) has generated in the banking industry, Aptivaa is pleased to launch a series of articles providing our perspective on various issues highlighted by our esteemed clients during interactions in the recent months. This post gives an overview of the revised guidelines on IRRBB which has been issued by the Basel Committee, the approaches and the associated challenges in the implementation of IRRBB framework for all internationally active banks.We look forward to your valuable feedback on the current article or the challenges faced by you in IRRBB implementation.
This opinion piece explores the reasons why GreySpark Partners believes that the forthcoming implementation of the Fundamental Review of the Trading Book regulations means that it is imperative that banks rethink their risk infrastructure and develop a plan for compliance.
MTBiz is for you if you are looking for contemporary information on business, economy and especially on banking industry of Bangladesh. You would also find periodical information on Global Economy and Commodity Markets.
Signature content of MTBiz is its Article of the Month (AoM), as depicted on Cover Page of each issue, with featured focus on different issues that fall into the wide definition of Market, Business, Organization and Leadership. The AoM also covers areas on Innovation, Central Banking, Monetary Policy, National Budget, Economic Depression or Growth and Capital Market. Scale of coverage of the AoM both, global and local subject to each issue.
MTBiz is a monthly Market Review produced and distributed by Group R&D, MTB since 2009.
Changes to Basel Regulation Post 2008 CrisisIshan Jain
Subprime crisis
Basel Committee objectives and history
Pillars of Basel 2 and Basel 3
Basel 3 Capital Requirements
capital Rations
Capital Buffers
Leverage Ratios
Global Liquidity Standards
macroeconomic factors
Value at Risk
Expected Shortfall
“Basel III is more about improving the risk management systems in the Banks than just Improved Quality and enhanced Quantity of capital”. Please discuss the challenges to the Indian Banks by March,2017
Your Path to YouTube Stardom Starts HereSocioCosmos
Skyrocket your YouTube presence with Sociocosmos' proven methods. Gain real engagement and build a loyal audience. Join us now.
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Social media refers to online platforms and tools that enable users to create, share, and exchange information, ideas, and content in virtual communities and networks. These platforms have revolutionized the way people communicate, interact, and consume information. Here are some key aspects and descriptions of social media:
Grow Your Reddit Community Fast.........SocioCosmos
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Enhance your social media strategy with the best digital marketing agency in Kolkata. This PPT covers 7 essential tips for effective social media marketing, offering practical advice and actionable insights to help you boost engagement, reach your target audience, and grow your online presence.
“To be integrated is to feel secure, to feel connected.” The views and experi...AJHSSR Journal
ABSTRACT: Although a significant amount of literature exists on Morocco's migration policies and their
successes and failures since their implementation in 2014, there is limited research on the integration of subSaharan African children into schools. This paperis part of a Ph.D. research project that aims to fill this gap. It
reports the main findings of a study conducted with migrant children enrolled in two public schools in Rabat,
Morocco, exploring how integration is defined by the children themselves and identifying the obstacles that they
have encountered thus far. The following paper uses an inductive approach and primarily focuses on the
relationships of children with their teachers and peers as a key aspect of integration for students with a migration
background. The study has led to several crucial findings. It emphasizes the significance of speaking Colloquial
Moroccan Arabic (Darija) and being part of a community for effective integration. Moreover, it reveals that the
use of Modern Standard Arabic as the language of instruction in schools is a source of frustration for students,
indicating the need for language policy reform. The study underlines the importanceof considering the
children‟s agency when being integrated into mainstream public schools.
.
KEYWORDS: migration, education, integration, sub-Saharan African children, public school
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How social media marketing helps businesses in 2024.pdfpramodkumar2310
Social media marketing refers to the process of utilizing social media platforms to promote products, services, or brands. It involves creating and sharing valuable content, engaging with followers, analyzing data, and running targeted advertising campaigns.
www.nidmindia.com
Exploring Factors Affecting the Success of TVET-Industry Partnership: A Case ...AJHSSR Journal
ABSTRACT: The purpose of this study was to explore factors affecting the success of TVET-industry
partnerships. A case study design of the qualitative research method was used to achieve this objective. For the
study, one polytechnic college of Oromia regional state, and two industries were purposively selected. From the
sample polytechnic college and industries, a total of 17 sample respondents were selected. Out of 17
respondents, 10 respondents were selected using the snowball sampling method, and the rest 7 respondents were
selected using the purposive sampling technique. The qualitative data were collected through an in-depth
interview and document analysis. The data were analyzed using thematic approaches. The findings revealed that
TVET-industry partnerships were found weak. Lack of key stakeholder‟s awareness shortage of improved
training equipment and machines in polytechnic colleges, absence of trainee health insurance policy, lack of
incentive mechanisms for private industries, lack of employer industries involvement in designing and
developing occupational standards, and preparation of curriculum were some of the impediments of TVETindustry partnership. Based on the findings it was recommended that the Oromia TVET bureau in collaboration
with other relevant concerned regional authorities and TVET colleges, set new strategies for creating strong
awareness for industries, companies, and other relevant stakeholders on the purpose and advantages of
implementing successful TVET-industry partnership. Finally, the Oromia regional government in collaboration
with the TVET bureau needs to create policy-supported incentive strategies such as giving occasional privileges
of duty-free import, tax reduction, and regional government recognition awards based on the level of partnership
contribution to TVET institutions in promoting TVET-industry partnership.
KEY WORDS: employability skills, industries, and partnership
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Non-Financial Information and Firm Risk Non-Financial Information and Firm RiskAJHSSR Journal
ABSTRACT: This research aims to examine how ESG disclosure and risk disclosure affect the total risk of
companies. Using cross section data from 355 companies listed in Indonesia Stock Exchange, data regarding
ESG disclosure and risk was collected. In this research, ESG and risk disclosures are measured based on content
analysis using GRI 4 guidelines for ESG disclosures and COSO ERM for risk disclosures. Using multiple
regression, it is concluded that only risk disclosure can reduce the company's total risk, while ESG disclosure
cannot affect the company's total risk. This shows that only risk disclosure is relevant in determining a
company's total risk.
KEYWORDS: ESG disclosure, risk disclosure, firm risk
The Challenges of Good Governance and Project Implementation in Nigeria: A Re...AJHSSR Journal
ABSTRACT : This study reveals that systemic corruption and other factors including poor leadership,
leadership recruitment processes, ethnic and regional politics, tribalism and mediocrity, poor planning, and
variation of project design have been the causative factors that undermine projects implementation in postindependence African states, particularly in Nigeria. The study, thus, argued that successive governments of
African states, using Nigeria as a case study, have been deeply engrossed in this obnoxious practice that has
undermined infrastructure sector development as well as enthroned impoverishment and mass poverty in these
African countries. This study, therefore, is posed to examine the similarities in causative factors, effects and
consequences of corruption and how it affects governance, projects implementation and national growth. To
achieve this, the study adopted historical research design which is qualitative and explorative in nature. The
study among others suggests that the governments of developing countries should shun corruption and other
forms of obnoxious practices in order to operate effective and efficient systems that promote good governance
and ensure there is adequate projects implementation which are the attributes of a responsible government and
good leadership. Policy makers should also prioritize policy objectives and competence to ensure that policies
are fully implemented within stipulated time frame.
KEYWORDS: Developing Countries, Nigeria, Government, Project Implementation, Project Failure
JAMES OKARIMIA The Fundamental Review Of The Trading Book (FRTB)
1. James Okarimia - The Fundamental
Review of the Trading Book (FRTB)
The first Basel Committee publication of 2016 was the highly anticipated BCBS 352,
minimum capital requirements for market risk. Due for implementation in 2019, the
regulation aims to tighten the loopholes of the current Basel 2.5 regime and ensure that
banks are able to withstand any potential market crash.
The new revised framework
In the wake of the 2008 financial crisis, the Basel Committee decided to implement
Basel 2.5 as a short-term response in order to strengthen Market Risk capital base. The
Fundamental Review of the Trading Book (FRTB) aims to be the long term solution to
Market Risk by addressing the persisting issues and allow supervisory authorities to
better compare institutions: predominantly the boundary between the banking and
trading book being too lenient and the internal model approach being inconsistent.
Furthermore, the standardised approach is not risk sensitive enough to constitute a
credible alternative to the internal models introduced by the banks themselves.
2. The Fundamental Review of the Trading Book (FRTB) imposes the most stringent
capital requirements of any regulation to date, and will involve significant required
challenges for the Risk department, and the trading activity of banks. The FRTB
amends the existing Basel market risk rules in the following areas:
Increasing controls on the boundary between the banking book and trading book
Removing Value-at-Risk in favour of Expected Shortfall
Strengthening the relationship between the standardised and internal models approach
The key theme of the review is to safeguard against banks “window-dressing” their
regulatory reporting and ensure that firms have in place sufficient risk management
practices to verify their intraday exposures are never excessive. If banks fail to meet the
capital requirements at any point, the national regulator can force banks to take
remedial action.
Although the impact on overall capital levels across the economy is not yet clear, and is
subject to final calibration, it is likely to lead to punitive capital increases in certain
business lines, and will potentially cause some key markets, such as the trading of
securitised products, to become uneconomic. Certain credit products could see capital
requirements increase by up to six times, while a sovereign downgrade could increase
capital charges by 73%. This could lead to lower liquidity and increased financing costs
for borrowers, please see the full version of this article.
Challenges faced in the implementation
Prior to implementing a target framework, the main task will be to calculate existing
capital at desk level, as the removal of compensation between trading desks will require
a major culture and computational change for banks. Banks will now have to revise their
risk measures and tools to ensure they are able to collate the correct data at the
appropriate granularity. At present, most Risk departments are organised at group level,
utilising data which has been collated centrally; however, due to the new rules there will
be at least six sub-trading books, which will all require their own risk reporting. Banks
will have to consider how they restructure their data architecture to enable reporting at
source level.
3. Due to the removal of compensation between desks, it may no longer be profitable
under the revised capital requirements to continue with all existing trading activities.
Banks will have to conduct a review of their current undertakings and may find they
have to merge certain desks or cease some of their trading activities as they are no
longer profitable.
Distributing new business between trading and banking books requires a
comprehensive audit trail capability – all new trading book business will impact the risk
profile of the overall book. The audit trail will need to take into account the volume of
trades and more widely the number of books involved. Furthermore, it is essential to
understand the component risk elements on a historical basis – this also applies to the
diversification requirement.
Banks will have to demonstrate adequate internal controls for each of their trading
books. This will require firms to put in place a management structure to overseas
activities around each trading book. Moreover, this will include actively managing the
risk on portfolios with multiple liquidity horizons – this will be particularly challenging due
to the complexity of the calculation and the lack of data to input, making consistency
difficult to maintain across multiple liquidity horizons.
Conclusion
4. The complexity of the new rules is such that there is likely to be a complete review of
the Risk organisation within many banks, in order to ensure compliance to the increased
multitude of reporting calculations. In conjunction with this, banks will review their
trading strategies to verify that each trading desk will remain independently profitable in
the medium-to-long term.
James Okarimia