FRTB SA discussion

[rmdfra]

I'm looking for a place to discuss and share ideas on the implementation of FRTB Standand Approach for market risk capital requirements. In particular on how to compute sensitivities to the prescribed risk factors.
Is there any groups or forums where it is being discussed?

 

[fin_guy]

Wow never thought I would see a post about the FRTB SA Market Risk Capital Requirements on this forum. Do you mean the delta, vega and curvature risk sensitivities prescribed in the Basel/CRR docs? PM me

 

[Andy Nguyen]

Have you seen Risk Management Resources
We have @Ken Abbott here who is an expert in this space.

 

[Ken Abbott]

I wouldn't say I'm an expert on the new senstivities-based approach, but I have spent a lot of time deciphering reg requirements and translating them into homework assignments for my students. For FRTB-based stuff, I'm waiting for the first official disclosures to come out so I can see what the results look like.

 

[rmdfra]

I'm more concerned about Delta risk sensitivities, specially GIRR and CSR, as the trading book I'm monitoring doesn't have many options.
I work for a Latin American bank. Local regulator is expected to publish its version of FRTB soon, and it should follow closely what's in the BIS documents.
Would like to know more about how these sensitivities are calculated in practice in US or European banks.

 

[Ken Abbott]

I'm more concerned about Delta risk sensitivities, specially GIRR and CSR, as the trading book I'm monitoring doesn't have many options.
I work for a Latin American bank. Local regulator is expected to publish its version of FRTB soon, and it should follow closely what's in the BIS documents.
Would like to know more about how these sensitivities are calculated in practice in US or European banks.

The best source would be the Big 4 audit/consulting firms, McKinsey and Oliver Wyman.