FRTB: The Canadian Perspective – Part 1 | KPMG | CA

FRTB: The Canadian Perspective – Part 1

FRTB: The Canadian Perspective – Part 1

A comparison between FRTB and CAR.

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FRTB: The Canadian perspective

The Fundamental Review of the Trading Book (FRTB) rules have recently been finalized and are going to have a huge impact in Canadian Banks.

Compared with the Capital Adequacy Requirements (CAR) guidelines that have been adopted by Canadian banks, FRTB has

  • a more prescriptive definition between banking and trading book,
  • introduces new concepts of risk measures, and
  • adds more mandates in model methodology and approval process.

While there are key changes between the CAR guidelines and FRTB, there are still similar concepts and principles between the two that can be leveraged, which will help ease the pain of FRTB implementation to a certain degree.

KPMG sees FRTB implementation as an opportunity to improve organizations’ internal models and risk measures.

Let’s start the conversation.

FRTB: The Canadian perspective – Part 2

FRTB: The new market risk paradigm

Fundamental Review of the Trading Book

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