Fundamental Review of the Trading Book (FRTB)
FRM Part 2 glossary · Market Risk
Definition
Basel market-risk framework replacing VaR-centered capital with expected shortfall, liquidity horizons, and stricter model approval.
Fundamental Review of the Trading Book (FRTB) in plain English
FRTB separates standardized and internal-model approaches, applies desk-level tests, and adds explicit charges for non-modellable risk factors. Its purpose is to make trading-book capital more tail-sensitive and comparable.
Also called: FRTB
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