Fundamental Review of the Trading Book, or FRTB, was introduced following the 2008 global financial crisis as a boundary between the trading book and the banking book. This shifts risk measurement from value at risk to a wider view of market liquidity risk, requiring banks to calculate more complex and risk-sensitive models than in the past.

The SS&C Algorithmics webinar “FRTB market trends amidst the Basel III delay” held on July 8th provided an opportunity to engage in insightful discussion and gain market-led insights and perspectives with a panel of risk practitioners. The panelists are close to the implementation of the revised market risk capital requirements under the Fundamental Review of the Trading Book (FRTB). The session covered known and emerging FRTB challenges in the current COVID-19 climate, characterized by unprecedented market volatility and uncertainty, counterbalanced by a recent decision by the Basel Committee on Banking Supervision (BCBS) to defer the implementation of the new standards to 2023.