Banks have less than three years to comply with new Fundamental Review of the Trading Book (FRTB) regulatory requirements—which entails rethinking how to measure and calculate risk, revisiting the business strategy and revising the organizational structure and possibly their operating model.
Accenture has identified a number of challenges within the revised FRTB framework. More importantly, we’ve built tools and guidance that can help financial institutions navigate this tricky, time-sensitive change.
A revised boundary between the trading book and the banking book. The boundary has been strengthened, with the aim of discouraging regulatory arbitrage.
A revised and standardized approach for market risk. A more risk-sensitive framework should help address current shortcomings around guaranteeing sufficient regulatory capital.
A revised internal models approach for market risk. Multiple adjustments should help make internal model frameworks more robust.
Strategic and operational advisory: We have deep experience with governance and policy review, qualifying model accuracy and improving data quality for risk data aggregation implementation.
Tools and key accelerators: We have tools for conducting assessments and performing calculations, such as Expected Shortfall calculation. Further, we can assess the accuracy and risk for performance models, and provide a data management system.
People, partnerships and global experience: Our team includes specific skills and competencies, with access to global, local and cross-region insight and knowledge.
1. “Minimum capital requirements for market risk,” Basel Committee on Banking Supervision, January 2016. Access at: https://www.bis.org/bcbs/publ/d352.pdf.