Resources

The financial services industry has been in a state of rapid flux ever since the first of a series of critical reforms were implemented, namely Dodd-Frank, in 2010, as well as because of the onset of disruptive technologies and new set of competitors emerging from the fintech industry.

FRTB will manifestly change the way banks run their trading business; banking infrastructure must rise to new demands. With band-aided, legacy systems becoming costly to adapt and falling short, this paper helps banks to better understand the technology architecture needed to meet the new flexibility, agility, scalability and computational requirements.

Franck Rossi, Director of Product Management at Numerix, discusses the challenges presented by FRTB - from increasing capital requirements to P&L Attribution to IT review.  In this paper, he explores what banks can  do to adequately prepare. 

Franck Rossi, Director of Product Management at Numerix, discusses the challenges presented by FRTB - from increasing capital requirements to P&L Attribution to IT review.  In this paper, he explores what banks can  do to adequately prepare. 

Credit support annexes specify rules for posting collateral. In this paper, Drs. Alexander Antonov and Vladimir Piterbarg propose advanced approaches for valuing the optionality of currency choice in multi-currency CSAs.

While the final FRTB text has some important changes from the fourth QIS of July 2015, including an extra year for implementation (with a new deadline of January 1st, 2019 for local translation and Dec 31st for latest date for 1st report submission by the financial institutions) and a reduced Residual Risk Add-on—many of the key rules in the framework remain unchanged from prior versions. Derivate market participants are finding the scope and complexity of the framework quite daunting.