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Risk Books The FRTB: Concepts, Implications and Implementation

Name: The FRTB: Concepts, Implications and Implementation
Brand: Risk Books
Price: 145.0 GBP
Availability: InStock

Subjects

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Description

Reforms known as the Fundamental Review of the Trading Book (FRTB) impact every bank with a trading book which in today's world, is virtually every bank. The FRTB, released by the Basel Committee on Banking Supervision (BCBS) in 2016, revised the minimum capital requirements for market risk to address the shortcomings of the Basel III market risk capital framework. The FRTB is an overarching view of how risks from banks' trading activities and portfolios should be assessed and quantified through a credible relationship with capital requirements. How banks plan for the effects, consequences and applications of FRTB is at the heart of Sanjay Sharma and John Beckwith's new book, The FRTB: Concepts, Implications, and Implementation. The book explores the regulations and their consequences and takes a look at the principal components of the new guidelines, which include: A boundary between banking and trading books Replacing value-at-risk (VaR) with expected shortfall (ES) as a risk measure A revised sensitivity-based standardised approach (SA) A revised ES-based internal models approach (IMA) with differentiated liquidity horizons. The FRTB: Impact, Implications, and Implementation is essential reading if you are a practitioner, a consultant, a regulator, an auditor, a ratings agency, an investor, a capital markets participant or a bank stakeholder.

Product Specifications

Brand: Risk Books
Format: paperback
ASIN: 1782723242
Category: Books > Subjects
Domain: Amazon UK
Release Date: 29 June 2018
Listed Since: 09 October 2018

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Risk Books The FRTB: Concepts, Implications and Implementation

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