Numerix: The FRTB - Key Challenges and Implementation Headaches

The broad implications of the revised capital framework proposed under the Fundamental Review of the Trading Book (FRTB) have begun to crystalize. These gains are the fruit of significant discussion, analyses and impact studies from industry participants and regulatory bodies. Banks are faced with anticipated increases in overall capital requirements, stricter tests for internal model approvals, needs for enhanced data quality, aggregation challenges, and more computationally-burdensome risk