Risk Management and Financial Institution Chapter 18 —— Fundamental Review of the Trading Book

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Risk Management and Financial Institution Chapter 18 —— Fundamental Review of the Trading Book

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• “Fundamental Review of the Trading Book” (FRTB)，针对市场风险资本的计算

• 比之前的方式更加复杂

18.1 基本背景

• FRTB 使用 ES expected shortfall with a 97.5% confidence，测量的标准是出于压力状态下的ES
• 通常情况下，97.5%的ES 与 99% 的VaR基本相等
• 如果损失分布存在厚尾，那么ES 将比VaR大得多
• 巴塞尔I 和 II.5使用的展期更改为了体现流动性
  • market variables change shocks
  • market variables risk factors
  • 展期 liquidity horizons，总共明确的五种，10、20、40、60、120

• 银行被要求使用IMA以及SA方式计算市场风险资本

• FRTB与之前计算方法的区别：

  • 基于trading book
  • IMA方法在银行内可以部分分割，某些部门使用IMA 有些使用SA
  • 目标是防止监管套利
  • FRTB对于trading book and banking book 定义更加明确

18.2 Standardized Approach 标准法

• Under the standardized approach, the capital requirement is the sum of three components:
  • a risk charge calculated using a risk sensitivity approach
    • 七种风险资产种类
    • 每个资产种类需要计算delta 风险，vega风险，曲率风险（curvature）
      • delta risk charge for a risk class is calculated using the risk weights and weighted sensitivity approach
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      • W_i以及ρ由巴塞尔委员会给予，δ，由银行自行给出
      • In practice, the Wi are set equal to multiples of the stressed daily volatility to reflect the liquidity horizon and the confidence level that regulators wish to consider
      • Suppose that the stressed daily volatility of risk factor i is estimated as 2% and that t