Fundamental Review of the Trading Book: Impact of New Rules and Alternative Responses

The Minimum Capital requirements for Market Risk were finalized by the Basel Committee on Banking Supervision (BCBS) at the beginning of 2016.

Please join us for a webinar where we outline the key changes compared to the current rules and explore the main implementation challenges banks face if they decide to stick to the internal model method or switch to the new standardized approach. Using our proof-of-concept implementation, we provide indications of the rules’ impact on bank’s Risk Weighted Assets (RWA) and present different scenarios on how banks can respond to them.

Agenda Topics

• Overview of the Most Important Changes and Implementation Challenges
• Impact of the Fundamental Review of the Trading Book (FRTB) on Internal Model Based Regulatory Capital
• Impact of the FRTB on Standardized Approach Based Regulatory Capital