IHS Markit: FRTB-CVA: Are you ready for the next piece of the FRTB puzzle?

Regulatory reform over the past decade – driven to a large extent by the Basel Committee – has made managing regulatory capital a priority for banks around the world. The introduction of the Fundamental Review of the Trading Book (FRTB) and the potentially significant capital implications of key decisions banks must make around issues such as non-modellable risk factors, P&L attribution and desk level reporting, further underlines its importance.

While much attention has been focused on the

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