Utilize este identificador para referenciar este registo: http://hdl.handle.net/10071/31293
Autoria: Carvalho, Paulo V.
Pinheiro, C.
Rodrigues, M. S.
Data: 2024
Título próprio: The impact of the Fundamental Review of the Trading Book: Evaluation on a stylized portfolio
Título da revista: Journal of Risk
Volume: 26
Número: 3
Paginação: 49 - 73
Referência bibliográfica: Carvalho, Paulo V., Pinheiro, C., & Rodrigues, M. S. (2024). The impact of the Fundamental Review of the Trading Book: Evaluation on a stylized portfolio. Journal of Risk, 26(3), 49-73. https://dx.doi.org/10.21314/JOR.2023.014
ISSN: 1465-1211
DOI (Digital Object Identifier): 10.21314/JOR.2023.014
Palavras-chave: Capital requirement
Basel Committee on Banking Supervision(BCBS)
Trading book
Fundamental Review of the Trading Book(FRTB)
Market risk
Resumo: We investigate the impact of the Basel Fundamental Review of the Trading Book (FRTB) on banks’ market risk capital requirements under the Internal Model Approach. To do this, we take a stylized portfolio sensitive to the risk factors affected by FRTB, representative of a typical trading book. Our assessment spans the period 2007-2019. We find that FRTB will entail sizeable increases in regulatory capital intended to absorb market shocks. These increases hail not only from the change in the risk measure and taking longer liquidity horizons, the latter with greater impact on portfolios more focussed on bonds, but also from the strong limitation of portfolio diversification benefits. Our study should be of interest to bank supervisors and regulators, risk managers, and other decision-makers within the banking industry.
Arbitragem científica: yes
Acesso: Acesso Embargado
Aparece nas coleções:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

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