This document provides information about an upcoming conference on the Fundamental Review of the Trading Book. It lists the speakers and panelists that will be participating. It also provides an overview of the conference topics, which include regulatory timelines, the sensitivities based approach, incremental default risk modelling, model risk management, VaR vs expected shortfall approaches, and challenges around non-modellable risk factors, profit and loss attribution, and desk eligibility. The document provides logistical information about the conference including dates, location, sponsors, and discounts.
James Okarimia - Fundamental Review Of The Trading Book (FRTB)JAMES OKARIMIA
油
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 reporting at the trading desk level, reviewing profitable trading strategies, and demonstrating adequate internal controls for multiple trading books.
This document provides information about an upcoming conference on the Fundamental Review of the Trading Book. It lists the speakers and panelists that will be participating. It also provides an overview of the conference topics, which include regulatory timelines, the sensitivities based approach, incremental default risk modelling, model risk management, VaR vs expected shortfall approaches, and challenges around non-modellable risk factors, profit and loss attribution, and desk eligibility. The document provides logistical information about the conference including dates, location, sponsors, and discounts.
James Okarimia - Fundamental Review Of The Trading Book (FRTB)JAMES OKARIMIA
油
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 reporting at the trading desk level, reviewing profitable trading strategies, and demonstrating adequate internal controls for multiple trading books.
CH&Cie - Fundamental Review of the Trading BookC Louiza
油
The document discusses concerns that led to the Fundamental Review of the Trading Book (FRTB). It summarizes that pre-FRTB there was unclear classification between banking and trading books allowing regulatory capital arbitrage. Risk measures also failed to fully capture risks like procyclicality, model risk for complex products, and comprehensive risks. The FRTB aims to address these issues with changes like standardized approaches, constraints on modeling, and convergence of prudential and accounting rules. It signals a strategic shift towards limiting internal modeling and preventing methodology arbitrage.
The document summarizes the Fundamental Review of the Trading Book (FRTB), which establishes new capital requirements for market risk. It outlines the standardized approach and internal models approach, both of which involve calculating expected shortfall and stressed value-at-risk. Banks will need to store and process significantly more market data to meet the new requirements, which are estimated to increase median capital requirements by 22% and weighted average capital requirements by 40%. Technical challenges include automating extensive data gathering, pricing, and reporting to support the new risk measurement approaches and capital calculations.
The document summarizes key changes in the Basel Committee's revised market risk framework, known as Fundamental Review of the Trading Book (FRTB). It introduces more complex capital calculations under the internal models approach, with requirements for multiple scenario analyses and risk factor combinations that significantly increase processing needs. It also requires clearer position classification and metadata for regulatory capital calculations. Banks will need enhanced data management and risk aggregation capabilities to integrate information across business units. The substantial technology impacts suggest a long-term, flexible implementation approach rather than short-term minimum compliance.
CH&CO - VaR methodology whitepaper - 2015 C Louiza
油
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
Fundamental Review of the Trading Book - What is FRTB and why start now?Morten Weis
油
Presentation on new minimum standard for market risk capital, known as Fundamental Review of the Trading Book "FRTB", issued by the Basel Committee January 2016. Given by Dr. Morten Weis, independent risk management expert, at a workshop arranged by KPMG Denmark 9 June 2016 in Copenhagen, Denmark. Focus is on general introduction to the new capital standard, with emphasis on the standard method as it is used by most banks in Denmark. Advice is shared on why to start FRTB preparations now, despite rules expected in force first from 2019.
The presentation is in pdf format, but might not display correctly unless downloaded.
Counterparty Credit Risk and CVA under Basel IIIH辰ner Consulting
油
Financial institutions which apply for an IMM waiver under Basel III need to fullfill a broad set of requirements. We present the quantitative, organizational and operational implications and provide some hand-on guidance how to fulfill the regulatory requirements.
1. The revised FRTB framework aims to address weaknesses in capital requirements and distinguish between trading book and banking book holdings by requiring higher capital for trading book assets.
2. Firms seek to move assets between books to minimize capital requirements based on liquidity and profitability as positions change.
3. Key impact areas of FRTB include OTC derivatives, securitization, and more complex instruments. Firms will need new business models and technology to implement FRTB.
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
The Pythagorean theorem states that for any right triangle, the square of the hypotenuse is equal to the sum of the squares of the other two sides. Specifically, if c is the length of the hypotenuse and a and b are the lengths of the other two sides, the theorem can be expressed as a2 + b2 = c2. The theorem is named after the Greek mathematician Pythagoras, who is traditionally credited with its discovery. It has applications in many areas of mathematics and is one of the most famous theorems in geometry.
The document contains exercises on Pythagoras' theorem with questions about identifying right angles and hypotenuses in triangles, calculating unknown sides of triangles using the theorem, finding diagonal lengths of squares and rectangles, and solving word problems involving right triangles. It provides the answers to the exercises at the end.
This document provides information about Pythagoras' theorem and examples of its application. It begins by defining Pythagoras' theorem as relating the lengths of the sides of a right-angled triangle, with the hypotenuse being the longest side. It then gives an example of using squares drawn on the sides of a triangle to demonstrate the theorem. The document continues with several examples of using the theorem to calculate unknown side lengths of right-angled triangles in various contexts like navigation problems. It also explains how to set up and solve word problems involving right-angled triangles using Pythagoras' theorem.
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