Market risk / FRTB
The Fundamental Review of the Trading Book (FRTB) has reshaped the capital framework for market risk. It introduces a revised boundary between trading and banking books, a more risk-sensitive Standardised Approach and a significantly more demanding Internal Model Approach.
Embridge assists banks and investment firms with all phases of FRTB implementation and ongoing compliance:
- Strategic assessment of Standardised Approach (SA) versus Internal Model Approach (IMA)
- Capital impact analysis and parallel-run support
- Expected Shortfall modelling, liquidity horizons and risk factor bucketing
- Risk Factor Eligibility Test (RFET) and treatment of Non-Modellable Risk Factors (NMRFs)
- P&L Attribution testing and backtesting frameworks
- Trading book / banking book boundary analysis and internal risk transfers
- Review of desk structures and approval documentation
Our work helps firms make well-informed choices about scope and approach, anticipate supervisory concerns and build FRTB frameworks that are operationally sustainable.