How APAC Banks Can Leverage FRTB-SA for Effective Market Risk Management

Banks around the globe are racing to finalize technology, data and analytics projects to implement FRTB (Fundamental Review of the Trading Book), which is expected to take effect in the next one to two years in most regions.

From our discussions with banks in APAC, many are viewing FRTB from a regulatory perspective only, as an update of regulatory capital requirements. However, the standardised approach (SA) of FRTB has been revised to become a risk sensitive parametric Value at Risk (VaR)/Expected Shortfall (ES) model which could also be used as a valuable tool for market risk management.

Sign up for our third webinar of 2023 in our FRTB series, as Yingqi Zhu of Numerix Japan outlines specific ways that FRTB-SA can be utilized for market risk purposes.

In this webinar, Mr. Zhu covers:

  • Brief overview of FRTB-SA
  • Practical ways banks can use FRTB-SA for market risk management, including day-to-day risk monitoring, drilldown analysis, capital allocation, what-if analysis, and others
  • Key takeaways

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