FRTB Whitepaper Explores the Impact of Basic CVA Framework vs FRTB-CVA Framework

Thursday, January 5, 2017

Quantifi, a provider of risk, analytics and trading solutions, and Kauri Solutions, a specialist financial consultancy firm, today announced the release of their whitepaper titled ‘FRTB: Strengthening Market Risk Practices?’. In July 2015, the Basel Committee proposed the FRTB-CVA framework which replaces the current CVA Risk Capital calculations. Six months later it published the final rule of the FRTB framework designed to address the undercapitalisation of trading book exposures witnessed during the financial crisis. This paper explores how these frameworks affect bank balance sheets. read more