by Quantifi and Kauri Solutions
||The Basel Committee’s overhaul of the market risk capital framework marks a major change to previous versions. FRTB is likely to have a substantial influence in the way firms are organised, and their approach to measuring and reporting risk. For example, at desk level there will be a requirement to monitor SA capital in addition to IMA. Banks need to decide whether the costs associated with operational and IT change is justified. Are more complex products likely to pay for themselves given the majority of the life of a trade will need to be calculated with SA as opposed to IMA? What is the impact of CVA charges?