Fundamental Review of the Trading Book

A survey of implications and bank's preparations

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This paper focuses on the business implications of the FRTB and implementation issues from a modelling and IT perspective. This is largely based on a survey of major banks undertaken in Winter/Spring 2015. At the time of the survey most banks had completed two QIS exercises and had done considerable analysis of the impact of the FRTB on their organisations in terms of enhancements to modelling, systems upgrades, and organisational changes. Project work had not, however, commenced as the final FRTB framework has not been issued and deadlines were not confirmed.