Fundamental Review of Trading Book (FRTB): A Quick Summary
1. Context
In this video from FRM Part 2 curriculum (Market Risk section), we recap the key stipulations of Fundamental Review of Trading Book (FRTB). We cover the motivations of FRTB, how it differs from earlier approaches to compute market risk capital, the stipulations in revised standardized approach, how different liquidity horizons are combined to arrive at a Expected Shortfall and other aspects such as backtesting and P/L attribution. This video is extracted from the finRGB FRM Part 2 preparation course (https://www.finRGB.com/courses/frm-part-2-online-course). The details of the reading in which this topic appears are given below:
| Area | Market Risk |
| Reading | Fundamental Review of Trading Book |
| Reference | John C. Hull, Chapter 17. Fundamental Review of the Trading Book In Risk Management and Financial Institutions, 5th Edition, (Hoboken, NJ: John Wiley & Sons, 2018). |