Internal Risk Transfers Under FRTB, Part D: Within the Trading Book, and the CVA Special Case
This final part of our internal risk transfer mini-series covers two remaining pieces: transfers that happen entirely within the trading
FRTB
Internal Risk Transfers Under FRTB, Part C: Interest Rate Risk and the Dedicated Desk
Part B covered how internal risk transfer of credit and equity risk move from the banking book to the trading
Internal Risk Transfers Under FRTB, Part B: Credit and Equity Risk From Banking Book to Trading Book
Part A of this mini-series established the basics: an internal risk transfer is just an internal record of moving risk,
Internal Risk Transfers Under FRTB, Part A: What They Are and the One-Way Door Rule
In the last article, we mapped the boundary between the trading book and the banking book — which instruments belong
Trading Book vs Banking Book: Where FRTB Draws the Line
In our first article, we saw that a porous boundary between the trading book and the banking book was one
What Is FRTB? The Story Behind the New Market Risk Capital Rules
Every bank that trades bonds, equities, currencies, commodities, or derivatives has to answer one uncomfortable question every single day: how