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A guide to FRTB Implementation

Fundamental Review of the Trading Book (FRTB) aims to harmonise the treatment of market risk across countries and rectify some of the issues that affected banks during the financial crisis. However, the now delayed timeline of January 2022 to implement FRTB should considerably ease the challenge faced for many regions and countries as they deal with the complex nature of the rules.

Helping to navigate FRTB

In this paper, we share a checklist to help banks navigate through the process of FRTB implementation.

This checklist provides a guide for boundary classification, data management, and systems change requirements for both Standardised Approach (SA) and Internal Model Approach (IMA)

The maximum impact of FRTB implementation will be felt by banks in terms of increased operational, capital, liquidity risk management, and reporting requirements.

In our view, banks also need to start preparing themselves to deal with any challenges that come up post implementation of FRTB, and for this, having a flexible and dynamic IT infrastructure, powerful data management tools, and upgraded internal skillsets in place will prove to be critical.

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Authors

Picture of Bhavna Khurana

Bhavna Khurana

With more than 11 years of financial and investment research experience, Bhavna is the client solutions architect for the Financial Services practice of The Smart Cube.

In her role, she acts as the relationship manager for key client accounts and is responsible for business development and designing of new financial research products and services for the practice. Bhavna is a certified Chartered Accountant (India) and a CFA charterholder. After spending more than 7 years in The Smart Cube’s Financial Research team in India, Bhavna now leads our financial services client solutions team from Chicago.

Picture of Swati Jain

Swati Jain

In her role, Swati is responsible for projects in the area of derivatives pricing, risk management and modelling for financial services clients.

With over 10 years of experience in quantitative research and quantitative modelling experience, specific to Basel III, CCAR and DFAST, Swati is a certified Financial Risk Manager as well as holding a CQF accreditation.