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class="mw-body-content"><div class="mw-content-ltr mw-parser-output" lang="en" dir="ltr"><div class="shortdescription nomobile noexcerpt noprint searchaux" style="display:none">Proposals for bank requirements</div> <style data-mw-deduplicate="TemplateStyles:r1129693374">.mw-parser-output .hlist dl,.mw-parser-output .hlist ol,.mw-parser-output .hlist ul{margin:0;padding:0}.mw-parser-output .hlist dd,.mw-parser-output .hlist dt,.mw-parser-output .hlist li{margin:0;display:inline}.mw-parser-output .hlist.inline,.mw-parser-output .hlist.inline dl,.mw-parser-output .hlist.inline ol,.mw-parser-output .hlist.inline ul,.mw-parser-output .hlist dl dl,.mw-parser-output .hlist dl ol,.mw-parser-output .hlist dl ul,.mw-parser-output .hlist ol dl,.mw-parser-output .hlist ol ol,.mw-parser-output .hlist ol ul,.mw-parser-output .hlist ul dl,.mw-parser-output .hlist ul ol,.mw-parser-output .hlist ul ul{display:inline}.mw-parser-output .hlist .mw-empty-li{display:none}.mw-parser-output .hlist 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.sidebar{width:100%!important;clear:both;float:none!important;margin-left:0!important;margin-right:0!important}}body.skin--responsive .mw-parser-output .sidebar a>img{max-width:none!important}@media screen{html.skin-theme-clientpref-night .mw-parser-output .sidebar:not(.notheme) .sidebar-list-title,html.skin-theme-clientpref-night .mw-parser-output .sidebar:not(.notheme) .sidebar-title-with-pretitle{background:transparent!important}html.skin-theme-clientpref-night .mw-parser-output .sidebar:not(.notheme) .sidebar-title-with-pretitle a{color:var(--color-progressive)!important}}@media screen and (prefers-color-scheme:dark){html.skin-theme-clientpref-os .mw-parser-output .sidebar:not(.notheme) .sidebar-list-title,html.skin-theme-clientpref-os .mw-parser-output .sidebar:not(.notheme) .sidebar-title-with-pretitle{background:transparent!important}html.skin-theme-clientpref-os .mw-parser-output .sidebar:not(.notheme) .sidebar-title-with-pretitle a{color:var(--color-progressive)!important}}@media print{body.ns-0 .mw-parser-output .sidebar{display:none!important}}</style><table class="sidebar nomobile nowraplinks hlist"><tbody><tr><th class="sidebar-title" style="background: silver">Basel Framework <br /><small>International regulatory standards for banks</small></th></tr><tr><td class="sidebar-content"> <ul><li><a href="/wiki/Basel_Committee_on_Banking_Supervision" title="Basel Committee on Banking Supervision">Basel Committee on Banking Supervision</a></li> <li><a href="/wiki/Basel_Accords" title="Basel Accords">Basel Accords</a> <ul><li><a href="/wiki/Basel_I" title="Basel I">Basel I</a></li> <li><a href="/wiki/Basel_II" title="Basel II">Basel II</a></li> <li><a href="/wiki/Basel_III" title="Basel III">Basel III</a> <ul><li><a href="/wiki/Liquidity_coverage_ratio" class="mw-redirect" title="Liquidity coverage ratio">LCR</a></li> <li><a href="/wiki/Net_stable_funding_ratio" title="Net stable funding ratio">NSFR</a></li> <li><a class="mw-selflink selflink">FRTB</a></li> <li><a href="/wiki/Basel_III:_Finalising_post-crisis_reforms" title="Basel III: Finalising post-crisis reforms">Final BIII Reforms</a></li></ul></li></ul></li></ul></td> </tr><tr><th class="sidebar-heading" style="font-weight: normal; background: silver; padding-bottom: 0.3em;"> Background</th></tr><tr><td class="sidebar-content"> <ul><li><a href="/wiki/Banking" class="mw-redirect" title="Banking">Banking</a> / <a href="/wiki/Bank_regulation" class="mw-redirect" title="Bank regulation">Regulation</a></li> <li><a href="/wiki/Monetary_policy" title="Monetary policy">Monetary policy</a> / <a href="/wiki/Central_bank" title="Central bank">Central bank</a></li> <li><a href="/wiki/Risk" title="Risk">Risk</a> / <a href="/wiki/Risk_management" title="Risk management">Risk management</a></li></ul></td> </tr><tr><th class="sidebar-heading" style="font-weight: normal; background: silver; padding-bottom: 0.3em;"> Pillar 1: Regulatory capital</th></tr><tr><td class="sidebar-content"> <ul><li><a href="/wiki/Capital_requirement" title="Capital requirement">Capital requirement</a> <ul><li><a href="/wiki/Capital_adequacy_ratio" title="Capital adequacy ratio">Capital ratio</a></li> <li><a href="/wiki/Basel_III#Leverage_ratio" title="Basel III">Leverage ratio</a></li> <li><a href="/wiki/Tier_1_capital" title="Tier 1 capital">Tier 1</a></li> <li><a href="/wiki/Tier_2_capital" title="Tier 2 capital">Tier 2</a></li></ul></li> <li><a href="/wiki/Credit_risk" title="Credit risk">Credit risk</a> <ul><li><a href="/wiki/Standardized_approach_(credit_risk)" title="Standardized approach (credit risk)">SA-CR</a></li> <li><a href="/wiki/Internal_ratings-based_approach_(credit_risk)" title="Internal ratings-based approach (credit risk)">IRB</a> <ul><li><a href="/wiki/Foundation_IRB" title="Foundation IRB">F-IRB</a></li> <li><a href="/wiki/Advanced_IRB" title="Advanced IRB">A-IRB</a></li></ul></li> <li><a href="/wiki/Exposure_at_default" title="Exposure at default">EAD</a> <ul><li><a href="/wiki/Standardized_approach_(counterparty_credit_risk)" title="Standardized approach (counterparty credit risk)">SA-CCR</a></li> <li>IMM</li></ul></li> <li><a href="/wiki/Credit_conversion_factor" title="Credit conversion factor">CCF</a></li></ul></li> <li><a href="/wiki/Market_risk" title="Market risk">Market risk</a> <ul><li><a href="/wiki/Standardized_approach_(market_risk)" class="mw-redirect" title="Standardized approach (market risk)">Standardized</a></li> <li><a href="/wiki/Internal_models_approach_(market_risk)" class="mw-redirect" title="Internal models approach (market risk)">IMA</a></li></ul></li> <li><a href="/wiki/Credit_valuation_adjustment" title="Credit valuation adjustment">CVA vol</a> <ul><li><a href="/wiki/XVA#Accounting_impact" title="XVA">BA-CVA</a></li> <li><a href="/wiki/XVA#Accounting_impact" title="XVA">SA-CVA</a></li></ul></li> <li><a href="/wiki/Operational_risk" title="Operational risk">Operational risk</a> <ul><li><a href="/wiki/Basic_indicator_approach" title="Basic indicator approach">Basic</a></li> <li><a href="/wiki/Standardized_approach_(operational_risk)" title="Standardized approach (operational risk)">Standardized</a></li> <li><a href="/wiki/Advanced_measurement_approach" title="Advanced measurement approach">AMA</a></li></ul></li></ul></td> </tr><tr><th class="sidebar-heading" style="font-weight: normal; background: silver; padding-bottom: 0.3em;"> Pillar 2: Supervisory review</th></tr><tr><td class="sidebar-content"> <ul><li><a href="/wiki/Economic_capital" title="Economic capital">Economic capital</a></li> <li><a href="/wiki/Liquidity_risk" title="Liquidity risk">Liquidity risk</a></li> <li><a href="/wiki/Legal_risk" title="Legal risk">Legal risk</a></li></ul></td> </tr><tr><th class="sidebar-heading" style="font-weight: normal; background: silver; padding-bottom: 0.3em;"> Pillar 3: Market disclosure</th></tr><tr><td class="sidebar-content"> <ul><li><a href="/wiki/Corporation#Financial_disclosure" title="Corporation">Disclosure</a></li></ul></td> </tr><tr><td class="sidebar-below" style="font-weight: normal; background: silver"> <a href="/wiki/Portal:Business_and_economics" class="mw-redirect" title="Portal:Business and economics">Business and Economics Portal</a></td></tr><tr><td class="sidebar-navbar"><link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1129693374" /><style data-mw-deduplicate="TemplateStyles:r1239400231">.mw-parser-output .navbar{display:inline;font-size:88%;font-weight:normal}.mw-parser-output .navbar-collapse{float:left;text-align:left}.mw-parser-output .navbar-boxtext{word-spacing:0}.mw-parser-output .navbar ul{display:inline-block;white-space:nowrap;line-height:inherit}.mw-parser-output .navbar-brackets::before{margin-right:-0.125em;content:"[ "}.mw-parser-output .navbar-brackets::after{margin-left:-0.125em;content:" ]"}.mw-parser-output .navbar li{word-spacing:-0.125em}.mw-parser-output .navbar a>span,.mw-parser-output .navbar a>abbr{text-decoration:inherit}.mw-parser-output .navbar-mini abbr{font-variant:small-caps;border-bottom:none;text-decoration:none;cursor:inherit}.mw-parser-output .navbar-ct-full{font-size:114%;margin:0 7em}.mw-parser-output .navbar-ct-mini{font-size:114%;margin:0 4em}html.skin-theme-clientpref-night .mw-parser-output .navbar li a abbr{color:var(--color-base)!important}@media(prefers-color-scheme:dark){html.skin-theme-clientpref-os .mw-parser-output .navbar li a abbr{color:var(--color-base)!important}}@media print{.mw-parser-output .navbar{display:none!important}}</style><div class="navbar plainlinks hlist navbar-mini"><ul><li class="nv-view"><a href="/wiki/Template:Basel_Framework" title="Template:Basel Framework"><abbr title="View this template">v</abbr></a></li><li class="nv-talk"><a href="/wiki/Template_talk:Basel_Framework" title="Template talk:Basel Framework"><abbr title="Discuss this template">t</abbr></a></li><li class="nv-edit"><a href="/wiki/Special:EditPage/Template:Basel_Framework" title="Special:EditPage/Template:Basel Framework"><abbr title="Edit this template">e</abbr></a></li></ul></div></td></tr></tbody></table> <p>The <b>Fundamental Review of the Trading Book</b> (<b>FRTB</b>), is a set of proposals by the <a href="/wiki/Basel_Committee_on_Banking_Supervision" title="Basel Committee on Banking Supervision">Basel Committee on Banking Supervision</a> for a new <a href="/wiki/Market_risk" title="Market risk">market risk</a>-related <a href="/wiki/Capital_requirement" title="Capital requirement">capital requirement</a> for banks.<sup id="cite_ref-IMF_1-0" class="reference"><a href="#cite_note-IMF-1"><span class="cite-bracket">[</span>1<span class="cite-bracket">]</span></a></sup><sup id="cite_ref-risk.net_2-0" class="reference"><a href="#cite_note-risk.net-2"><span class="cite-bracket">[</span>2<span class="cite-bracket">]</span></a></sup> </p> <meta property="mw:PageProp/toc" /> <div class="mw-heading mw-heading2"><h2 id="Background">Background</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=Fundamental_Review_of_the_Trading_Book&action=edit&section=1" title="Edit section: Background"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <style data-mw-deduplicate="TemplateStyles:r1236090951">.mw-parser-output .hatnote{font-style:italic}.mw-parser-output div.hatnote{padding-left:1.6em;margin-bottom:0.5em}.mw-parser-output .hatnote i{font-style:normal}.mw-parser-output .hatnote+link+.hatnote{margin-top:-0.5em}@media print{body.ns-0 .mw-parser-output .hatnote{display:none!important}}</style><div role="note" class="hatnote navigation-not-searchable">Further information: <a href="/wiki/Basel_III:_Finalising_post-crisis_reforms" title="Basel III: Finalising post-crisis reforms">Basel III: Finalising post-crisis reforms</a> and <a href="/wiki/Market_risk#Regulatory_views" title="Market risk">Market risk § Regulatory views</a></div> <p>The reform, which is part of <a href="/wiki/Basel_III" title="Basel III">Basel III</a>, is one of the initiatives taken to strengthen <a href="/wiki/Systemically_important_financial_institution" title="Systemically important financial institution">the financial system</a>, noting that the previous proposals (<a href="/wiki/Basel_II" title="Basel II">Basel II</a>) did not prevent the <a href="/wiki/Financial_crisis_of_2007%E2%80%932008" class="mw-redirect" title="Financial crisis of 2007–2008">financial crisis of 2007–2008</a>.<sup id="cite_ref-3" class="reference"><a href="#cite_note-3"><span class="cite-bracket">[</span>3<span class="cite-bracket">]</span></a></sup><sup id="cite_ref-4" class="reference"><a href="#cite_note-4"><span class="cite-bracket">[</span>4<span class="cite-bracket">]</span></a></sup> It was first published as a <i>Consultative Document</i> in October 2013.<sup id="cite_ref-5" class="reference"><a href="#cite_note-5"><span class="cite-bracket">[</span>5<span class="cite-bracket">]</span></a></sup> Following feedback received on the consultative document, an initial proposal was published in January 2016,<sup id="cite_ref-6" class="reference"><a href="#cite_note-6"><span class="cite-bracket">[</span>6<span class="cite-bracket">]</span></a></sup> which was revised in January 2019.<sup id="cite_ref-7" class="reference"><a href="#cite_note-7"><span class="cite-bracket">[</span>7<span class="cite-bracket">]</span></a></sup> </p> <div class="mw-heading mw-heading2"><h2 id="Key_features">Key features</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=Fundamental_Review_of_the_Trading_Book&action=edit&section=2" title="Edit section: Key features"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <p>The FRTB revisions address deficiencies relating to the existing <sup id="cite_ref-bcbs128_8-0" class="reference"><a href="#cite_note-bcbs128-8"><span class="cite-bracket">[</span>8<span class="cite-bracket">]</span></a></sup> <i><a href="/wiki/Standardized_approach_(market_risk)" class="mw-redirect" title="Standardized approach (market risk)">Standardised approach</a></i> and <i><a href="/wiki/Internal_models_approach_(market_risk)" class="mw-redirect" title="Internal models approach (market risk)">Internal models approach</a></i><sup id="cite_ref-9" class="reference"><a href="#cite_note-9"><span class="cite-bracket">[</span>9<span class="cite-bracket">]</span></a></sup> and particularly revisit the following: </p> <ul><li>The boundary between the "<a href="/wiki/Trading_book" class="mw-redirect" title="Trading book">trading book</a>" and the "<a href="/wiki/Banking_book" class="mw-redirect" title="Banking book">banking book</a>": <sup id="cite_ref-10" class="reference"><a href="#cite_note-10"><span class="cite-bracket">[</span>10<span class="cite-bracket">]</span></a></sup> i.e. assets intended for active trading; as opposed to assets expected to be <a href="/wiki/Maturity_(finance)" title="Maturity (finance)">held to maturity</a>, usually customer loans, and deposits from retail and corporate customers; <sup id="cite_ref-11" class="reference"><a href="#cite_note-11"><span class="cite-bracket">[</span>11<span class="cite-bracket">]</span></a></sup> important since the "vast majority of losses were from trading books during the 2008 crisis"<sup id="cite_ref-IMF_1-1" class="reference"><a href="#cite_note-IMF-1"><span class="cite-bracket">[</span>1<span class="cite-bracket">]</span></a></sup></li> <li>The use of <a href="/wiki/Expected_shortfall" title="Expected shortfall">expected shortfall</a> instead of <a href="/wiki/Value_at_risk" title="Value at risk">value at risk</a> as a <a href="/wiki/Risk_measure" title="Risk measure">measure of risk</a> under stress; thus ensuring that banks capture <a href="/wiki/Tail_risk" title="Tail risk">tail risk</a> events</li> <li>The risk of <a href="/wiki/Market_liquidity" title="Market liquidity">market illiquidity</a></li></ul> <p>FRTB additionally sets a "higher bar" for banks to use their own, internal models for calculating capital, as opposed to the standardised approach.<sup id="cite_ref-risk.net_2-1" class="reference"><a href="#cite_note-risk.net-2"><span class="cite-bracket">[</span>2<span class="cite-bracket">]</span></a></sup> Here, for a <a href="/wiki/Trading_desk" class="mw-redirect" title="Trading desk">desk</a> to qualify for the internal models approach, its model must pass two tests: a <a href="/wiki/PnL_Explained" class="mw-redirect" title="PnL Explained">profit and loss attribution</a> test and a <a href="/wiki/Value_at_risk#Backtesting" title="Value at risk">backtest</a>.<sup class="noprint Inline-Template Template-Fact" style="white-space:nowrap;">[<i><a href="/wiki/Wikipedia:Citation_needed" title="Wikipedia:Citation needed"><span title="This claim needs references to reliable sources. (June 2024)">citation needed</span></a></i>]</sup> </p> <div class="mw-heading mw-heading2"><h2 id="Calculation_of_capital_requirements">Calculation of capital requirements</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=Fundamental_Review_of_the_Trading_Book&action=edit&section=3" title="Edit section: Calculation of capital requirements"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <p>As for other Basel frameworks, the Standardised Approach is directly implementable, but, at the same time, carries more capital; whereas the Internal Models approach, by contrast, carries less capital, but the modelling is more complex. More specifically, the calculations incorporate the above outlined enhancements, as follows. </p> <ul><li>Under the <b>Standardised Approach</b>, <sup id="cite_ref-12" class="reference"><a href="#cite_note-12"><span class="cite-bracket">[</span>12<span class="cite-bracket">]</span></a></sup> the minimum capital requirement <sup id="cite_ref-13" class="reference"><a href="#cite_note-13"><span class="cite-bracket">[</span>13<span class="cite-bracket">]</span></a></sup> is the sum of three components: (i) Sensitivities-based capital, for seven risk classes, which reflects linear risks via their <a href="/wiki/Greeks_(finance)#Delta" title="Greeks (finance)">delta</a> and <a href="/wiki/Greeks_(finance)#Vega" title="Greeks (finance)">vega</a> (for options) risk factors, and non-linear risks via <a href="/wiki/Convexity_(finance)" title="Convexity (finance)">curvature</a>. A capital charge is calculated here for three correlation scenarios, multiplying the sensitivities by supervisory risk-weights, and then applying rules for trade-by-trade and then overall aggregation, with the largest finally used. (ii) A default risk charge, capturing any <a href="/wiki/Credit_default_swap#Risk" title="Credit default swap">jump-to-default risk</a>. (iii) A residual risk add-on, appended for other market risks not captured, such as <a href="/wiki/Duration_gap" title="Duration gap">gap risk</a> and behavioural risk.</li></ul> <ul><li>Under the <b>Internal Models</b> approach, <sup id="cite_ref-14" class="reference"><a href="#cite_note-14"><span class="cite-bracket">[</span>14<span class="cite-bracket">]</span></a></sup> the minimum capital requirement <sup id="cite_ref-15" class="reference"><a href="#cite_note-15"><span class="cite-bracket">[</span>15<span class="cite-bracket">]</span></a></sup> uses <a href="/wiki/Expected_shortfall" title="Expected shortfall">expected shortfall</a> (i.e. as opposed to VaR) at a 97.5% quantile, with differentiated “liquidity horizons” for five categories of instruments (standard 10 days previously); the expected loss is calibrated to the one-year period of the most severe stress since 2005. For non-modellable risk factors, those where appropriate data does not exist, <a href="/wiki/Stress_test_(financial)" title="Stress test (financial)">stress scenarios</a> are used as a proxy. Capital requirements are calculated at the level of trading desks and are aggregated for the whole trading book. To this is appended a <a href="/wiki/Default_risk" class="mw-redirect" title="Default risk">default risk</a> charge.</li></ul> <div class="mw-heading mw-heading2"><h2 id="References">References</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=Fundamental_Review_of_the_Trading_Book&action=edit&section=4" title="Edit section: References"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <style data-mw-deduplicate="TemplateStyles:r1239543626">.mw-parser-output .reflist{margin-bottom:0.5em;list-style-type:decimal}@media screen{.mw-parser-output .reflist{font-size:90%}}.mw-parser-output .reflist .references{font-size:100%;margin-bottom:0;list-style-type:inherit}.mw-parser-output .reflist-columns-2{column-width:30em}.mw-parser-output .reflist-columns-3{column-width:25em}.mw-parser-output .reflist-columns{margin-top:0.3em}.mw-parser-output .reflist-columns ol{margin-top:0}.mw-parser-output .reflist-columns li{page-break-inside:avoid;break-inside:avoid-column}.mw-parser-output .reflist-upper-alpha{list-style-type:upper-alpha}.mw-parser-output .reflist-upper-roman{list-style-type:upper-roman}.mw-parser-output .reflist-lower-alpha{list-style-type:lower-alpha}.mw-parser-output .reflist-lower-greek{list-style-type:lower-greek}.mw-parser-output .reflist-lower-roman{list-style-type:lower-roman}</style><div class="reflist"> <div class="mw-references-wrap mw-references-columns"><ol class="references"> <li id="cite_note-IMF-1"><span class="mw-cite-backlink">^ <a href="#cite_ref-IMF_1-0"><sup><i><b>a</b></i></sup></a> <a href="#cite_ref-IMF_1-1"><sup><i><b>b</b></i></sup></a></span> <span class="reference-text"><a rel="nofollow" class="external text" href="http://pubdocs.worldbank.org/en/253431477065134529/4-Minimum-Capital-Requirements-for-Market-Risk.pdf"><i>Minimum Capital Requirements for Market-Risk</i></a>. <a href="/wiki/International_Monetary_Fund" title="International Monetary Fund">International Monetary Fund</a>, 2016</span> </li> <li id="cite_note-risk.net-2"><span class="mw-cite-backlink">^ <a href="#cite_ref-risk.net_2-0"><sup><i><b>a</b></i></sup></a> <a href="#cite_ref-risk.net_2-1"><sup><i><b>b</b></i></sup></a></span> <span class="reference-text"><a rel="nofollow" class="external text" href="https://www.risk.net/definition/fundamental-review-of-the-trading-book-frtb"><i>Fundamental Review of the Trading Book (FRTB)</i></a>. risk.net</span> </li> <li id="cite_note-3"><span class="mw-cite-backlink"><b><a href="#cite_ref-3">^</a></b></span> <span class="reference-text"><style data-mw-deduplicate="TemplateStyles:r1238218222">.mw-parser-output cite.citation{font-style:inherit;word-wrap:break-word}.mw-parser-output .citation q{quotes:"\"""\"""'""'"}.mw-parser-output .citation:target{background-color:rgba(0,127,255,0.133)}.mw-parser-output .id-lock-free.id-lock-free a{background:url("//upload.wikimedia.org/wikipedia/commons/6/65/Lock-green.svg")right 0.1em center/9px no-repeat}.mw-parser-output .id-lock-limited.id-lock-limited a,.mw-parser-output .id-lock-registration.id-lock-registration a{background:url("//upload.wikimedia.org/wikipedia/commons/d/d6/Lock-gray-alt-2.svg")right 0.1em center/9px no-repeat}.mw-parser-output .id-lock-subscription.id-lock-subscription a{background:url("//upload.wikimedia.org/wikipedia/commons/a/aa/Lock-red-alt-2.svg")right 0.1em center/9px no-repeat}.mw-parser-output .cs1-ws-icon a{background:url("//upload.wikimedia.org/wikipedia/commons/4/4c/Wikisource-logo.svg")right 0.1em center/12px no-repeat}body:not(.skin-timeless):not(.skin-minerva) .mw-parser-output .id-lock-free a,body:not(.skin-timeless):not(.skin-minerva) .mw-parser-output .id-lock-limited a,body:not(.skin-timeless):not(.skin-minerva) .mw-parser-output .id-lock-registration a,body:not(.skin-timeless):not(.skin-minerva) .mw-parser-output .id-lock-subscription a,body:not(.skin-timeless):not(.skin-minerva) .mw-parser-output .cs1-ws-icon a{background-size:contain;padding:0 1em 0 0}.mw-parser-output .cs1-code{color:inherit;background:inherit;border:none;padding:inherit}.mw-parser-output .cs1-hidden-error{display:none;color:var(--color-error,#d33)}.mw-parser-output .cs1-visible-error{color:var(--color-error,#d33)}.mw-parser-output .cs1-maint{display:none;color:#085;margin-left:0.3em}.mw-parser-output .cs1-kern-left{padding-left:0.2em}.mw-parser-output .cs1-kern-right{padding-right:0.2em}.mw-parser-output .citation .mw-selflink{font-weight:inherit}@media screen{.mw-parser-output .cs1-format{font-size:95%}html.skin-theme-clientpref-night .mw-parser-output .cs1-maint{color:#18911f}}@media screen and (prefers-color-scheme:dark){html.skin-theme-clientpref-os .mw-parser-output .cs1-maint{color:#18911f}}</style><cite class="citation web cs1"><a rel="nofollow" class="external text" href="https://www.bis.org/bcbs">"The Basel Committee - overview"</a>. The Basel Committee on Banking Supervision. 28 June 2011<span class="reference-accessdate">. Retrieved <span class="nowrap">5 April</span> 2019</span>.</cite><span title="ctx_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Abook&rft.genre=unknown&rft.btitle=The+Basel+Committee+-+overview&rft.pub=The+Basel+Committee+on+Banking+Supervision&rft.date=2011-06-28&rft_id=https%3A%2F%2Fwww.bis.org%2Fbcbs&rfr_id=info%3Asid%2Fen.wikipedia.org%3AFundamental+Review+of+the+Trading+Book" class="Z3988"></span></span> </li> <li id="cite_note-4"><span class="mw-cite-backlink"><b><a href="#cite_ref-4">^</a></b></span> <span class="reference-text"><link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1238218222" /><cite class="citation book cs1"><a rel="nofollow" class="external text" href="https://www.bis.org/bcbs/publ/d457_note.pdf"><i>Explanatory note on the minimum capital requirements for market risk</i></a> <span class="cs1-format">(PDF)</span>. Basel Committee on Banking Supervision. 2019. <a href="/wiki/ISBN_(identifier)" class="mw-redirect" title="ISBN (identifier)">ISBN</a> <a href="/wiki/Special:BookSources/978-92-9259-236-3" title="Special:BookSources/978-92-9259-236-3"><bdi>978-92-9259-236-3</bdi></a>.</cite><span title="ctx_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Abook&rft.genre=book&rft.btitle=Explanatory+note+on+the+minimum+capital+requirements+for+market+risk&rft.pub=Basel+Committee+on+Banking+Supervision&rft.date=2019&rft.isbn=978-92-9259-236-3&rft_id=https%3A%2F%2Fwww.bis.org%2Fbcbs%2Fpubl%2Fd457_note.pdf&rfr_id=info%3Asid%2Fen.wikipedia.org%3AFundamental+Review+of+the+Trading+Book" class="Z3988"></span></span> </li> <li id="cite_note-5"><span class="mw-cite-backlink"><b><a href="#cite_ref-5">^</a></b></span> <span class="reference-text"><link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1238218222" /><cite class="citation web cs1"><a rel="nofollow" class="external text" href="https://www.bis.org/publ/bcbs265.pdf">"Fundamental review of the trading book: A revised market risk framework - consultative document"</a> <span class="cs1-format">(PDF)</span>. <i>www.bis.org</i>. BIS<span class="reference-accessdate">. Retrieved <span class="nowrap">17 April</span> 2022</span>.</cite><span title="ctx_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=unknown&rft.jtitle=www.bis.org&rft.atitle=Fundamental+review+of+the+trading+book%3A+A+revised+market+risk+framework+-+consultative+document&rft_id=https%3A%2F%2Fwww.bis.org%2Fpubl%2Fbcbs265.pdf&rfr_id=info%3Asid%2Fen.wikipedia.org%3AFundamental+Review+of+the+Trading+Book" class="Z3988"></span></span> </li> <li id="cite_note-6"><span class="mw-cite-backlink"><b><a href="#cite_ref-6">^</a></b></span> <span class="reference-text"><link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1238218222" /><cite class="citation book cs1"><a rel="nofollow" class="external text" href="https://www.bis.org/bcbs/publ/d352.pdf"><i>Minimum capital requirements for market risk</i></a> <span class="cs1-format">(PDF)</span>. Basel Committee on Banking Supervision. 2016. <a href="/wiki/ISBN_(identifier)" class="mw-redirect" title="ISBN (identifier)">ISBN</a> <a href="/wiki/Special:BookSources/978-92-9197-416-0" title="Special:BookSources/978-92-9197-416-0"><bdi>978-92-9197-416-0</bdi></a>.</cite><span title="ctx_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Abook&rft.genre=book&rft.btitle=Minimum+capital+requirements+for+market+risk&rft.pub=Basel+Committee+on+Banking+Supervision&rft.date=2016&rft.isbn=978-92-9197-416-0&rft_id=https%3A%2F%2Fwww.bis.org%2Fbcbs%2Fpubl%2Fd352.pdf&rfr_id=info%3Asid%2Fen.wikipedia.org%3AFundamental+Review+of+the+Trading+Book" class="Z3988"></span></span> </li> <li id="cite_note-7"><span class="mw-cite-backlink"><b><a href="#cite_ref-7">^</a></b></span> <span class="reference-text"><link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1238218222" /><cite class="citation book cs1"><a rel="nofollow" class="external text" href="https://www.bis.org/bcbs/publ/d457.pdf"><i>Minimum capital requirements for market risk</i></a> <span class="cs1-format">(PDF)</span>. Basel Committee on Banking Supervision. 2019. <a href="/wiki/ISBN_(identifier)" class="mw-redirect" title="ISBN (identifier)">ISBN</a> <a href="/wiki/Special:BookSources/978-92-9259-237-0" title="Special:BookSources/978-92-9259-237-0"><bdi>978-92-9259-237-0</bdi></a>.</cite><span title="ctx_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Abook&rft.genre=book&rft.btitle=Minimum+capital+requirements+for+market+risk&rft.pub=Basel+Committee+on+Banking+Supervision&rft.date=2019&rft.isbn=978-92-9259-237-0&rft_id=https%3A%2F%2Fwww.bis.org%2Fbcbs%2Fpubl%2Fd457.pdf&rfr_id=info%3Asid%2Fen.wikipedia.org%3AFundamental+Review+of+the+Trading+Book" class="Z3988"></span></span> </li> <li id="cite_note-bcbs128-8"><span class="mw-cite-backlink"><b><a href="#cite_ref-bcbs128_8-0">^</a></b></span> <span class="reference-text"><a rel="nofollow" class="external text" href="https://www.bis.org/publ/bcbs128.pdf"><i>International Convergence of Capital Measurement and Capital Standards</i></a>. Basel Committee on Banking Supervision, 2006</span> </li> <li id="cite_note-9"><span class="mw-cite-backlink"><b><a href="#cite_ref-9">^</a></b></span> <span class="reference-text"><a rel="nofollow" class="external text" href="https://www.bis.org/publ/bcbs17.pdf"><i>An internal model-based approach to market risk capital requirements</i></a>. Basel Committee on Banking Supervision, 1995</span> </li> <li id="cite_note-10"><span class="mw-cite-backlink"><b><a href="#cite_ref-10">^</a></b></span> <span class="reference-text"><a rel="nofollow" class="external text" href="https://www.bis.org/basel_framework/chapter/RBC/25.htm">"Boundary between the trading book and the banking book"</a>, Basel Committee on Banking Supervision, 2020</span> </li> <li id="cite_note-11"><span class="mw-cite-backlink"><b><a href="#cite_ref-11">^</a></b></span> <span class="reference-text"><a rel="nofollow" class="external text" href="http://www.bankpedia.org/index.php/en/87-english/b/23139-banking-book">Banking book</a>, bankpedia.org</span> </li> <li id="cite_note-12"><span class="mw-cite-backlink"><b><a href="#cite_ref-12">^</a></b></span> <span class="reference-text"><a rel="nofollow" class="external text" href="https://www.bis.org/basel_framework/chapter/MAR/20.htm?inforce=20230101&published=20200327">MAR 20: Standardised approach</a></span> </li> <li id="cite_note-13"><span class="mw-cite-backlink"><b><a href="#cite_ref-13">^</a></b></span> <span class="reference-text">For an overview of the calculations, see, e.g., <a href="/wiki/PwC" title="PwC">PwC</a> (2016). <a rel="nofollow" class="external text" href="https://www.pwc.com/gx/en/advisory-services/basel-iv/basel-iv-revised-standardised-.pdf">Basel IV: Revised Standardised Approach for Market Risk</a>, pwc.com</span> </li> <li id="cite_note-14"><span class="mw-cite-backlink"><b><a href="#cite_ref-14">^</a></b></span> <span class="reference-text"><a rel="nofollow" class="external text" href="https://www.bis.org/basel_framework/chapter/MAR/30.htm?inforce=20230101&published=20221208">MAR 30: Internal models approach</a></span> </li> <li id="cite_note-15"><span class="mw-cite-backlink"><b><a href="#cite_ref-15">^</a></b></span> <span class="reference-text">For an overview of the calculations, see, e.g., <a href="/wiki/PwC" title="PwC">PwC</a> (2016). <a rel="nofollow" class="external text" href="https://www.pwc.com/gx/en/advisory-services/basel-iv/regulatory-toolbox.pdf">Basel IV: Revised Internal Models Approach for Market Risk</a>, pwc.com</span> </li> </ol></div></div> <div class="mw-heading mw-heading2"><h2 id="Bibliography">Bibliography</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=Fundamental_Review_of_the_Trading_Book&action=edit&section=5" title="Edit section: Bibliography"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <ul><li>Ioannis Akkizidis, Lampros Kalyvas (2018). <i>Basel III Modelling: Implementation, Impact and Implications</i>. <a href="/wiki/Palgrave_Macmillan" title="Palgrave Macmillan">Palgrave Macmillan</a>. <link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1238218222" /><a href="/wiki/ISBN_(identifier)" class="mw-redirect" title="ISBN (identifier)">ISBN</a> <a href="/wiki/Special:BookSources/978-3319704241" title="Special:BookSources/978-3319704241">978-3319704241</a></li> <li>Sanjay Sharma, John Beckwith (2018). <i>The FRTB: Concepts, Implications and Implementation</i>. <a href="/wiki/Risk_(magazine)#Risk_Books" title="Risk (magazine)">Risk Books</a>. <link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1238218222" /><a href="/wiki/ISBN_(identifier)" class="mw-redirect" title="ISBN (identifier)">ISBN</a> <a href="/wiki/Special:BookSources/9781782723240" title="Special:BookSources/9781782723240">9781782723240</a></li></ul>    </div><noscript><img src="https://auth.wikimedia.org/loginwiki/wiki/Special:CentralAutoLogin/start?useformat=desktop&type=1x1&usesul3=1" alt="" width="1" height="1" style="border: none; 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