trading book
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Why 2020 is Different: FX Risk View on 43 Currency Pairs vs USD
In many risk management practice, especially for those who are dealing with market risk in daily basis, year 2008 must be still lingering in their minds. The great recession of 2008 is so great in effect that it has triggered reforms in many regulatory and accounting standards, in which I mentioned one of them in my last post (Basel 4). The year is also used in stress scenarios of many financial market business, strategy, and even regulatory capital calculation. However, how about 2020? The Great Pandemic of 2020 Year 2020,
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Basel 4 in January 2023, R U Ready?
This week, I was busy giving presentation towards market risk colleagues in Indonesia, coming from various local and multinational banks. The topic is about the new FRTB standards (Fundamental Review of the Trading Book), the foundation of the new minimum capital requirements for market risk within the new Basel 4 framework. It is expected to go live in January 2023, after one year postponement taken into account due to Covid-19. The new standards will go live together with other Basel 4 updated components, such as CVA and credit risk. While some banks have spent both time and resources to tackle