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FROM THEORY

TO ACTION
In January 2016, the Basel Committee on Banking Supervision
(BCBS) published final rules for the market risk framework for capital
requirements. The BCBS proposed the end of 2019 as a compliance
deadline for banks with a significant presence in capital markets.1

The new rules – known as Fundamental FTRB encompasses a revised internal


Review of the Trading Book or FRTB – are model approach characterized by a shift
designed to address Basel 2.5 issues from Value-at-Risk (VAR) to the Expected
such as the under-capitalization of the Shortfall (ES) measure of risk, for a better
trading book, capital arbitrage between reflection of “tail risk” and capital adequacy
banking and trading books, and internal during periods of significant financial
risk transfers. Through the FRTB rules, market stress.3
BCBS is seeking, for example, to establish
a more objective boundary between the
trading book and the banking book, and
to eliminate capital arbitrage between the
regulatory banking and trading books.2

2 FUNDAMENTAL REVIEW OF THE TRADING BOOK (FRTB)


CHALLENGES TO FRTB
IMPLEMENTATION
Accenture believes that adoption of the FRTB • Additional investment in technology
rules presents banks with major challenges infrastructure for risk calculation.
in areas related to business operations
and infrastructure provisioning. According FRTB rules require banks to strengthen
to our analysis and estimates we expect: their existing market risk infrastructure
and overall technology capabilities, with
• Significant increases (as much as additional computational capacity to
40 percent) in market risk capital support calculations as required under new
requirements; capital requirements. Banks should also plan
for additional complexity in operations and
• Higher costs for rules implementation processes due to changed desk structures
programs – ranging from $100 million and should undertake the standardization
to $250 million for large banks; of data sources to support these changes.

• Large increases in Business as Usual (BAU)


costs due to desk level requirements; and

Figure 1. Expected FRTB Timeline


Q2-Q3 2019
Supervisor approvals

Q4 2017
Advanced implementation DEC 2019
of standardized approach Compliance
and internal model deadline
approach components
to be completed

Q4 2016 Q2-Q3 2018


Project plan, gap analysis Production parallel
and program funding run of FRTB to begin
to be completed
Q2 2017
Foundational components
of strategic market risk
infrastructure under
implementation

Note: Industry participants are in discussion with national supervisors and the BCBS around the compliance
timeline for FRTB. This may lead to the compliance deadline moving beyond December 2019.
Source: Minimum capital requirements for market risk, BCBS, January 2016 and Accenture estimates.

3 FUNDAMENTAL REVIEW OF THE TRADING BOOK (FRTB)


The BCBS recommended deadline of Data requirements and risk
December 31, 2019 may not seem imminent, measures at desk level
but the journey to compliance is not easy.
Banks should begin to address their FRTB FRTB rules are explicit in proposing
implementation strategy immediately and the reporting structure of market risk
plan for implementation issues going forward. to management and regulators would
be checking this at the trading desk
New rules affect these key areas: level.6 As we see it, banks would also
need to obtain the data and run their
P&L (profit and loss) attribution test risk calculations at a trading desk level
and to adjust their data sourcing and
P&L attribution test helps evaluate the calculation strategies accordingly.
efficiency of the internal models and
their ability to capture all the relevant For banks, major areas of focus include
risks impacting the portfolio. This is strengthening existing market risk
a new requirement and each trading infrastructure and technology capabilities;
desk must independently pass this test. positioning additional computational
If a desk experiences breaches four capacity to support FRTB calculations;
or more times, then it will be put on and planning for additional complexity
standardized approach methodology.4 in operations and processes due to
changes in their desk structures (although
Risk factor eligibility (modelable we believe that some banks may seek
vs non-modelable) to incorporate this into ongoing Volcker
Rule implementation activities) and
Each of the risk factors which banks model
the standardization of data sources.
will need to undergo an eligibility check,
meaning that the banks will need to obtain As shown in Figure 2, a majority of FRTB
real prices for them.5 With this measure, rules have a direct or indirect impact
we believe that BCBS aims to strengthen on banks’ data management strategies.
the internal models to include only those Solving for data challenges would be
risk factors which would have consistent a top priority as banks mobilize their
interpretation by the banks. This will also resources in their efforts to comply.
eliminate any ad-hoc risk factor inclusion
to help reduce the capital impact.

4 FUNDAMENTAL REVIEW OF THE TRADING BOOK (FRTB)


Figure 2. FRTB Impact Analysis Framework

1. TRADING BOOK BOUNDARY 2. STANDARDIZED APPROACH 3. INTERNAL MODEL


AND RISK POLICY APPROACH

1.1 Trade and Bank 2.1 Sensitivity 2.4 Delta, Vega 3.4 Default
1.4 Covered 3.1 Risk
Book Boundaries Based Method and Curvature Risk Charge
Instruments Factor Analysis
(SBM) Calculation (DRC) – IMA

1.2 Trading 1.5 Risk 3.2 Expected 3.5 Non-Modelable:


2.2 Establish 2.5 Default Risk
Desk Identification Management Shortfall Capital Add-Ons
Risk Classes Charge (DRC) - SA
Policies Calculation (SES)
1, 2, 3. FUNCTIONAL
REQUIREMENTS

1.3 Internal 1.6 Reporting 2.3 Securitization 2.6 Residual 3.3 Trading 3.6 Multi Liquidity
Risk Transfers Requirements Risk Add-On Desk Eligibility Horizons

2.7 SA Capital 3.7 Calibration 3.8 IMA Capital


Calculation to Stress Period Calculation
Methodology Methodology
4. SUPERVISORY

4.1 Trading 4.3 Instrument 4.4 Residual Risk 4.6 SBM 4.8 IMA 4.10 P&L
Book Boundary Redesignation Add-On Approval Calculator Risk Factors Attribution
APPROVALS

4.2 Exception 4.5 Internal Risk 4.7 Model 4.11 Changes


for Covered 4.9 Backtesting
Transfers Controls Validation to IMA Model
Instruments

5.3 Risk
5.1 Asset 5.3 Instrument 5.5 Capital 5.6 Risk Factor 5.8 Full
Sensitivities
TECHNOLOGY

Classification Master Aggregation Pricing Data Revaluation


Data Sourcing
5. DATA &

5.2 Security 5.4 Data 5.7 Stress 5.9 P&L Attribution


Reference Data Taxonomy Calculations and Backtesting

High Impact Activities

Source: Accenture Analysis

5 FUNDAMENTAL REVIEW OF THE TRADING BOOK (FRTB)


DATA ISSUES FOR BANKS
We see three data issues as fundamental to an
effective implementation of the FRTB framework

6 FUNDAMENTAL REVIEW OF THE TRADING BOOK (FRTB)


1 RISK SENSITIVITIES Under the revised rules, a bank would
SOURCING need to compute at least 79 different
calculation inputs for each sensitivity
The rules for standardized approach (SA) and class for risk computation under SA. The
internal models approach (IMA) advocate new prescribed risk factors and liquidity
both: the use of risk sensitivities and computation may lead to as many as
consistency in their calculation which, for 12,000 calculations per trade, compared
the first time, should be the same as those to the current 250 to 500 calculations per
used for the pricing models or instrument trade under earlier Basel 2.5 regulations.
prices in the P&L statement that management
receives.7 Unlike previous standardized The SA has introduced the concept of
models, the SA under FRTB rules makes use curvature risk to capture nonlinear risk
of risk sensitivities to capture both linear which is not captured by the delta of the
and nonlinear risk in the trading desk. instruments with optionality. Curvature risk is
Banks are also required to calculate risk not a second order approximation, but rather
charges using SA, identifying Delta, Vega and a full revaluation needed for every instrument
Curvature sensitivities across all risk classes. affected. This means, we believe, that
The rules specify the maturity buckets for banks would need to update infrastructure,
each risk class and sensitivity combination to data availability, and IT capacity to run the
arrive at a final sensitivity value per bucket, revaluation for all products with optionality.
using netting rules. This should lead to a
The new rules also specify that the
comprehensive calculation of risk using SA,
sensitivities should be calculated on the
adding to the complexity of computation.
prices of instruments or on pricing models
Figure 3 below shows the number of buckets
which are used for P&L reporting or market
for each sensitivity and risk class combination
risk management within the bank. This calls
under a sensitivities-based method for SA.
for consistency between the calculations
used for computing sensitivities and the
valuation models used by the front office
for trading purposes.

Figure 3. Number of Buckets for Sensitivities Calculation


RISK CLASSES

GIRR CSR – CSR – CSR – Equity Commodity FX


Non-Securitization Securitization Securitization
(CTP) (Non-CTP)

Delta Individual 16 16 25 11 11 Individual


currency currency
SENSITIVITY

Vega Individual 16 16 25 11 11 Individual


currency currency

Curvature Individual 16 16 25 11 11 Individual


currency currency

LEGEND:
CSR: Credit Spread Risk CTP: Correlation Trading Portfolio GIRR: General Interest Rate Risk
Source: Minimum capital requirements for market risk. Basel Committee on Banking Supervision, January 2016.

7 FUNDAMENTAL REVIEW OF THE TRADING BOOK (FRTB)


2 MARKET DATA should also manage the liquidity horizon,
SOURCING which is differentiated by which risk factor
is necessary for the computation of the
Banks need to source pricing information
expected shortfall. Other areas of concern
for risk factors to be eligible for inclusion
in risk factor pricing include the new level
in IMA calculation. These market prices
of segmentation of the different instruments
need to be “real” and “observable” based
and the assignment of different weights (for
upon market transactions.8 If pricing is not
example, for creditworthiness of the issuer,
available for a risk factor then the bank
or for currency) as prescribed in the rules.
would need to add a Non-Modelable Risk
Factor charge to the capital calculation P&L attribution
thereby increasing the capital requirement.
Issues in P&L attribution include integration of
The rules specify conditions which need to data and time series to secure the adequacy
be fulfilled for risk factors to be considered of the input data for the computation of
modelable.9 Due to these restrictions, the measures of risk and P&L, and changes
and the limited availability of pricing in the workflow and the definitions of new
information, we anticipate that market processes of analysis for each trading desk.
data would be a high hurdle for banks.
Market data quality issues
Market data is also needed for computation A key concern here is the non-availability of
of risk sensitivities for a SA-based capital market data for risk factors. Grouping these
calculation, meaning that the data used for within the non-modelable risk factor category
computation of sensitivities is consistent may increase the capital requirements for
with front office use of pricing information, these risk factors in case of error.
as required by the regulations.
Banks are considering a number of solutions
Costs for a pooled market data utility can to deal with these challenges, including
run up to $15 million for initial setup, with the pooling of data to overcome the lack
additional costs for routine maintenance of market data. This approach, however,
and global sourcing of data.10 presents risks of its own, such as the
potential for abuse of the framework if
We see implementation challenges uncommitted quotes are provided; this could
for banks in these main areas to source lead to regulatory sanctions on the entire
market data for risk factors: initiative. There are also concerns about
collusion between financial institutions,
Risk factor pricing which could lead to manipulation of market
Banks should look at issues such as risk data. Strong governance and controls
factor analysis, which entails obtaining would be needed to prevent any misuse
risk factors for inclusion in the internal or manipulation of the market data utility.
models to identify if each risk factor is
modelable or non-modelable. Banks

8 FUNDAMENTAL REVIEW OF THE TRADING BOOK (FRTB)


3 RISK CALCULATOR Assumptions
DATA GAPS Due to existing data challenges in banks’ risk
Understanding the incremental data process models, many assumptions have
requirements versus the existing data to be made by the risk management teams,
calculation models and calculators is which may lead to inaccurate calculations
crucial, as FRTB has introduced changes for capital charge under SA. Specifically,
to the way risk charge is calculated under banks may need to make assumptions in
both SA and IMA. doing linear extrapolation of their calculation
of risk sensitivities, where underlying data
Some broad data gaps affect risk is not available to them.
calculators across risk factors and asset
classes. These relate to the mismatch of Data taxonomy
maturities of existing risk factors and the Because of differences in front office
maturity classifications prescribed by FRTB and risk management systems, there is
regulations. Another gap is related to the a challenge in classifying the different
mapping of internal ratings to FRTB rules, products, as per the FRTB rules, to
especially for US institutions, as regulations maintain consistency in calculation and a
prohibit the use of external ratings. uniform interpretation of the asset classes
across the bank. Mapping instruments to
The data gaps for calculating capital the relevant asset classes can therefore
charge using SA touch on the following become a major challenge for the banks.
broad themes:

Maturity mismatch
The FRTB rules framework defines the
risk factors and vertices in a way designed
to calculate sensitivities. These risk factors
and vertices have maturities which may
differ from the existing risk computation
systems within banks.

Data sourcing gaps


The existing risk infrastructure at banks
does not source and/or obtain all the
data required for calculation of capital
charge under SA, as specified in the
FRTB rules. Data sourcing challenges
exist in the decomposition of equity
baskets and/or indices, in underlying
products decomposition, in sourcing
equity rating data for default risk charge
computation, and in managing internal
ratings for both credit and equity issuers.

9 FUNDAMENTAL REVIEW OF THE TRADING BOOK (FRTB)


Banks opting for IMA face challenges
of their own, including:

Data sourcing Data taxonomy


The revised IMA approval process proposed As is the case with SA, a consistent data
under FRTB rules puts the burden on taxonomy is essential for all risk computation
banks to obtain the data for market risk within the bank. The IMA approach calls
calculations, as well as for developing for addressing products booked outside
a robust testing mechanism to obtain the normal data ecosystem, which may
approval for use of internal models. present bespoke data challenges.
Data sourcing for IMA models present
challenges such as managing complex Rules interpretation
risk factor mappings containing different There are data issues related to the
asset classes; having a clear process of interpretation of the rules for Risk
non‑modelable risk factors for identification Theoretical P&L for satisfying the P&L
and implementation, and mapping liquidity attribution using the IMA approach. This
horizons for different asset classes. The means that additional guidance is needed
IMA framework also specifies that the risk from the supervisors to avoid delays related
factors should be supported by an external, to incorrect implementation of the P&L
verifiable price, rather than the internal implementation models in the banks.
prices many banks use for risk calculation.

Assumptions
FRTB rules detail the process for P&L
attribution for the internal models, which
requires full revaluation methods rather
than the approximation methods banks
currently use. To use full revaluation
methods, banks would need to use data
for full sets of positions; they would
need to create systemic assumptions
to fill in the missing data. This may not
sit well with regulators, who may insist
on the SA calculation in the absence of
hard data to back the internal models.

10 FUNDAMENTAL REVIEW OF THE TRADING BOOK (FRTB)


REMEDIATION EFFORTS TO
ADDRESS DATA CHALLENGES
In our view, for an effective implementation of Banks should be well served if they form
an FRTB program, banks should have a sound the data strategy of the organization
data sourcing, calculation and management around FRTB rules by considering the
strategy. Addressing the data challenges key recommendations, issues and
can provide the foundation to be flexible analysis dimensions that follow.
and agile in their FRTB compliance efforts.

ANALYSIS DIMENSION BENEFITS


Methodology Taxonomy Consistent
Take a systematic approach Maintain the same sensitivities treatment of data
to bucketing sensitivities definition across the front office across the bank.
or risk exposure for individual and risk management teams Front office and
risk classes. by having a common taxonomy risk management
for both. teams have the
Make sure calculation
methodologies are consistent Establish standard data same calculations
1. IDENTIFY A and sensitivity data.
CONSISTENT SET across different areas of the taxonomies for attributes across
OF SENSITIVITIES bank. The ideal scenario risk classes and sensitivities and
would be that the sensitivities use throughout the organization.
are calculated only once by
a golden source calculator
and then utilized by different
teams of the bank as needed.

Data Sourcing • Define feed formats for Golden source


Set up a central repository obtaining data for each of risk data across
for all risk sensitivities within sensitivity. A favored practice the bank.
the bank. This repository is to establish a unified feed
Ease of data quality
would receive data from format which can be used for
management.
different golden sources for sourcing data from multiple
risk sensitivities and it should sources. This should lead to Availability of
2. DEFINE A be stored and organized by consistent data processing for data across the
CENTRALIZED risk class, bucket, tenor and storing in the repository. organization as
ARCHITECTURE risk factor respectively. per SLA needed.
FOR SOURCING • Establish data feed service
RISK DATA • Finalize the list of sensitivities to level agreements (SLAs) Support approval
be sourced in the repository for and frequency with source process and
each bucket across risk classes. systems for obtaining the supervisory
data. Favored practice is to auditing.
• Identify golden sources obtain the data feed daily
of sensitivities calculation with a pre‑defined cutoff
across risk classes. time for global operations.
• Create data sourcing standards Data Quality
for sensitivity data sourcing. Create data quality standards
for managing high quality risk
sensitivities data for internal
and external audit approvals.

11 FUNDAMENTAL REVIEW OF THE TRADING BOOK (FRTB)


ANALYSIS DIMENSION BENEFITS
Taxonomy by an industry consortium to Support to
Individuate criteria and skirt the regulatory requirement individual desk
indicators for distinguishing and this may be rejected by approval for IMA.
between modelable and the supervisors.
Flexibility in
non‑modelable risk factors. Identify data providers and switching to SA
Exploit monitoring of the establish vendor relationships approach in case
time series and the quality to obtain real pricing information. of rejection by
3. MANAGE IMA supervisors.
RISK FACTORS of the contribution. Data Quality
AND LIQUIDITY Data Sourcing Develop activities for the control Reduced capital
HORIZONS charges due
Participate in data pooling of data for each desk instead
of the legal entity as a whole. to IMA.
initiatives within the industry
or subscribe to third-party Aggregation
vendors for obtaining real prices.
Structure computations to easily
However, note that this approach
manage the inclusion/exclusion
has its own risk as there is a
of the desk considered eligible/
possibility of price manipulation
ineligible for the internal model.

Taxonomy Governance Approval for use


Define the factors governing of IMA to compute
Revise the report system for capital charges.
the portfolio which is to be Risk Management based on
considered for P&L attribution the outcome of the backtesting. Successful P&L
and communication protocols attribution tests.
to different departments
involved, such as Finance,
4. PLAN FOR P&L for integrating the desks which
ATTRIBUTION are eligible for the internal model.

Governance Data Quality Consistent


Document the existing data Periodically update the dataset calculation of risk
which is useful for sensitivity to confirm the existing risk sensitivities across
management from the front factors and identify any new risk the front office
office systems. factors impacting the models. applications.
Identification of
sensitivity gaps
5. MANAGE SA RISK which can be
SENSITIVITIES
corrected.
Up to date
SA calculators.

Infrastructure Data Quality Data quality


Integrate the IT processes Signal to both users and affected management.
which warn/alert users of data functions the data issues and Efficient
issues in the repository. This eventual delays to improve communication
should help with the ability to management of the activities. for reporting.
proactively take action and
resolve issues on a timely basis,
6. IMPROVE with direct communication with
MARKET DATA the Risk Technology function.
PROCESS FOR
DATA QUALITY
MANAGEMENT

12 FUNDAMENTAL REVIEW OF THE TRADING BOOK (FRTB)


ANALYSIS DIMENSION BENEFITS
Infrastructure • This then becomes a question Identification
Identify synergies with other of scalability and flexibility of strategic tools
strategic regulatory initiatives of the bank’s UMR calculator. within the bank.
such as BCBS 239 and the A bank would be well served
Avoiding
Uncleared Margin Regulation if it can leverage the UMR
duplicative work.
(UMR). Leverage the existing work and extend it to the
infrastructure for supporting SA calculator for FRTB. Cost savings
7. SEEK FRTB, or, if they are in the due to sharing
BCBS 239 regulations propose
TECHNOLOGY middle of implementation, of processes
SYNERGIES the use of automated risk
make sure that the technology and infrastructure
WITH OTHER reporting and data traceability
solutions for different regulatory across multiple
REGULATORY from source, as well as the
INITIATIVES programs are supporting the programs.
use of risk data within the
FRTB requirements as well. bank. Within a bank, an FRTB Permits compliance
UMR regulations proposed program can leverage the across all regulatory
by BCBS in their final rules standards established as regimes.
published in December 2013 part of BCBS 239 as follows:
and adopted by regulators • Sourcing data directly from
in the US propose the use of golden sources without
“Greeks” which are similar any data transformation
to the sensitivities proposed and manipulation.
under the SA framework
for FRTB. Additionally the • Maintaining strong data lineage
calculation mechanism is documentation for traceability
similar to the one shared by and supervisory approvals.
FRTB. The comparison of • Using a BCBS 239
frameworks is given below: infrastructure for risk reporting
• As can be seen below UMR to generate market risk
rules have a strong parallel reporting under FRTB.
with FRTB regulations with
the only difference being that
UMR applies to uncleared
derivatives while FRTB
regulations apply to the entire
market portfolio of the bank.

FRTB Rules UMR Rules (ISDA, 2016)

Calculate Delta, Calculate portfolio “Greeks” for each of the risk factors,
Vega and Curvature which can be done using internal models, vendor supplied
for each risk class models or counterparty provided “Greeks.”
IMx=DeltaMarginx+VegaMarginx+CurvatureMarginx

The total market risk Aggregate the margins for each asset class calculated
charge is an aggregate using the above formula.
of the risk charge SIMM=SIMMRatesFX+SIMMCredit+SIMMEquity+SIMMCommodity
for Delta, Vega and
Curvature across
risk classes

Source: Accenture analysis of the International Swaps and Derivatives Association (ISDA) Standard Initial Margin
Model (SIMM) version 3.15

13 FUNDAMENTAL REVIEW OF THE TRADING BOOK (FRTB)


CONCLUSION
STEPS TO TRANSFORMATION
OF MARKET RISK PROCESSES
We believe that most banks have elements in place to begin an effective
transformation of their market risk processes in response to FRTB.
We strongly encourage them to link these elements together to create
a comprehensive approach to market risk management.

These steps include: 3. Documenting gap analysis and


create an implementation strategy
1. Defining internal understanding
This entails identifying gaps (using the current
of FRTB rules and requirements
state assessment and target state definition)
This includes performing a detailed as well as areas where remediation work is
impact analysis of the FRTB rules on required for compliance. In this step, the bank
capital requirements and the processes also finalizes funding requirements and makes
involved. The bank should form assessment provisions, identifies gaps in resources and
workstreams, identify categories and skills, and details the technology changes
dimensions of impact, and understand required to reach the target state.
the current capabilities for people,
process and technology within the bank. 4. Creating an implementation roadmap

2. Developing a target state Once the first three steps have been taken,
operating model the bank can create a detailed roadmap
and direct different workstreams aimed
The bank should finalize the target state at reaching the desired target state.
technology and business operation
capabilities, and identify strategic platforms As we have seen, challenges related to
and solutions to be leveraged in a target FRTB implementation are significant. While
state environment. In addition, the bank banks still have enough time to meet the
should also define the organizational 2019 deadline, they have no time to lose in
structure for compliance and participate organizing and planning what amounts to a
in industry forums to identify the current comprehensive reordering of their market
level of industry practice. risk processes. The needed talent is in short
supply and banks that move quickly to
develop and execute a plan would have an
advantage over competitors who are slower
to respond to this major regulatory initiative.

14 FUNDAMENTAL REVIEW OF THE TRADING BOOK (FRTB)


REFERENCES ABOUT THE AUTHORS
1. “Minimum capital requirements for
Amit Gupta
market risk,” Basel Committee on Banking
Supervision, January 2016. Access at: Amit is a Managing Director, Accenture Finance
http://www.bis.org/bcbs/publ/d352.htm & Risk. Based in New York, Amit has over 15 years
of risk consulting and capital markets industry
2. Ibid
experience delivering strategic solutions for
3. Ibid a broad range of client situations. He also
4. “Minimum capital requirements for market has extensive experience in assessing market
risk,” Basel Committee on Banking Supervision, risk and credit risk capabilities, and helping
January 2016. Access at: http://www.bis.org/ clients enhance their risk governance, risk
bcbs/publ/d352.htm processes, analytics capabilities and implement
5. Ibid risk systems. Amit works closely with client
6. Ibid executives to increase their organizational
focus on proactive risk measures and to better
7. “Minimum capital requirements for
leverage their enterprise risk management
market risk,” Basel Committee on Banking
capabilities to support their growth agenda.
Supervision, January 2016. Access at:
http://www.bis.org/bcbs/publ/d352.htm
8. Real prices – Under risk factor analysis, each
Rahim Inoussa
of the risk factors need to have 24 observable Rahim is a Senior Manager, Accenture Finance
price points over a year. These observable price & Risk. Based in New York, Rahim leads the
points have to be “Real” which is defined as: North America Market Risk Offering group,
It is a price at which the institution has focusing on the Fundamental Review of the
conducted a transaction; Trading Book (FRTB). He has over 15 years of
broad‑based consulting and industry experience
It is a verifiable price for an actual transaction
in the capital markets sector delivering strategic
between other arms-length parties; or
initiatives at global financial institutions.
The price is obtained from a committed quote; Specialized in market risk, credit risk and
If the price is obtained from a third-party regulatory compliance, Rahim works with
vendor (with some conditions to accepting clients on their journey to high performance.
the vendor data).
9. “Minimum capital requirements for Gaurav Kapoor
market risk,” Basel Committee on Banking Gaurav is a Manager, Accenture Finance &
Supervision, January 2016. Access at: Risk. Based in New York, Gaurav has over
http://www.bis.org/bcbs/publ/d352.htm
6 years of consulting experience in the Capital
10. “Manipulation threat to FRTB data pooling,” Markets sector delivering large scale business
Risk.net, May 24, 2016. Access at: http:// transformation and Regulatory front-to-back
www.risk.net/risk-magazine/feature/2458359/ change programs for large investment banks.
manipulation-threat-to-frtb-data-pooling He has broad experience in business analysis,
data management, specification, design and
implementation of Capital Markets functions
and is currently focused on the Fundamental
Review of the Trading Book (FRTB).

15 FUNDAMENTAL REVIEW OF THE TRADING BOOK (FRTB)


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