Ravi Bhushan

Global banks face immense pressure to align daily risk calculations with constantly evolving FRTB mandates and to transform market risk...

Contents CSRBB Product Scope – Banking Book . Aligning CSRBB Methodologies . CSRBB Risk Assessment Methods . CSSRBB Vs IRRBB – Holistic View . Challenges faced by banks in incorporating CSRBB as Pillar II risk . Best Practices for Managing CSRBB Regulatory Compliance . Conclusion . References . Incorporating CSRBB into Pillar II Risk and Capital Requirements Managing credit spread risk in the banking book (CSRBB) is crucial for effective risk management, especially given the increasing volume...

Global banks are grappling with the trade-offs between  FRTB IMA  and  SA  approaches. As deadlines for the  Fundamental Review of the Trading Book (FRTB)  draw nearer across many jurisdictions, debates around using the  Internal Models Approach (IMA)  versus the  Standardised Approach (SA)  are intensifying. The decision is not straightforward. In this article, we examine the pros and cons of each approach and discuss how market participants are addressing this challenge. Banks adopting SA...