Welcome
Login / Register

Fundamental Review of the Trading Book (FRTB) (FRM Part 2 – Book 1 – Chapter 16)

Thanks! Share it with your friends!

URL

You disliked this video. Thanks for the feedback!

Sorry, only registred users can create playlists.
URL


Added Trading

Fundamental Review of the Trading Book (FRTB) (FRM Part 2 – Book 1 – Chapter 16)

10 Views
Description

AnalystPrep's FRM Part 2 Video Series
For FRM Parts 1 & 2 Video Lessons, Study Notes, Practice Questions, and Mock Exams Register an Account at
*AnalystPrep is an Official GARP-Approved Exam Preparation Provider*

The written summary can be found here:


After completing this reading you should be able to:
- Describe the changes to the Basel framework for calculating market risk capital under the Fundamental
Review of the Trading Book (FRTB) and the motivations for these changes.
- Compare the various liquidity horizons proposed by the FRTB for different asset classes and explain how
a bank can calculate its expected shortfall using the various horizons.
- Explain the FRTB revisions to Basel regulations in the following areas:
- Classification of positions in the trading book compared to the banking book
- Backtesting, profit and loss attribution, credit risk and securitizations

Post your comment