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The FRTB: Practical Approach to Implementation and Model Risk Management

Risk Management

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Description

The Fundamental Review of the Trading Book (FRTB) takes center stage again as US regulators propose changes to bank capital rules to align with the final Basel III standards, also known as the "Basel III Endgame". It presents critical challenges for financial institutions: Should institutions implement FRTB Internal Model Approach (IMA) alongside the Standardized Approach (SA)? How to leverage the Basel 2.5 framework to efficiently implement FRTB IMA, minimizing Non-Modellable Risk Factors’ (NMRFs) impact while overcoming data challenges? What is the optimal design for trading desk structures? How to choose a reduced set of risk factors for stress Expected Shortfall (ES) calculations and stress period selection? Should institutions implement and maintain an additional system to calculate FRTB sensitivities since that they may differ from internally calculated sensitivities? Should institutions be concerned about model risks associated with the FRTB Standardized Approach now that it is prescribed by the regulators? Are you ready to navigate the complexity of the FRTB and tackle these pressing questions? Look no further! "The FRTB: Practical Approach to Implementation and Model Risk Management" is your ultimate resource for understanding and implementing the FRTB with confidence and efficiency. This book thoroughly examines the FRTB's proposals, impacts, and challenges, and provides practical guidance for FRTB implementation, data administration, optimal trading desk structuring, robust validations and capital optimization. It also illuminates model risk pitfalls through rigorous analysis and case studies, enabling effective mitigation strategies. This book is essential for risk professionals, quantitative analysts, consultants, regulators, auditors, decision-makers, and students of financial engineering. It provides the knowledge and tools to transform regulatory challenges into competitive edges.

Product Specifications

Format: paperback
ASIN: B0D1WPFMPJ
Category: Books > Subjects > Business, Finance & Law > Professional Finance > Risk Management
Domain: Amazon UK
Release Date: 14 April 2024
Listed Since: 16 April 2024

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The FRTB: Practical Approach to Implementation and Model Risk Management

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