After the delivery of Fundamental Review of the Trading Book (FRTB) Quantitative Impact Study (QIS) in early April, CCFA Risk Study group held the third study session on FTRB on April 16th, 2015. It was an honour to invite Jun Yuan, Senior Manager from RBC and Lu Lin, Senior Manager from Scotiabank, to have a round table discussion on the topic, together with some practitioners on risk management from Canadian banks and members of the study group. Both speakers have involved in the past FRTB QIS exercise.
The session covered an introduction of FRTB, new regulatory rules on market risk, and FRTB’s Impact on business and industry. An overview of the Basel III’s revised market risk framework was provided by the speakers. There are two approaches can be chosen by a bank in measuring market risk: standardised approach and internal models approach (IMA). Banks must calculate the standardized capital charge for each trading desk, with calculation performed at least monthly.
The IMA requires approval from OSFI, and uses multiple risk factors. Expected shortfall (ES) must be computed on a daily basis, which is used to calculate the tail risk, focusing on the whole tail instead of only a point of the tail, as compared to Value-at-risk (VaR). Consequently, interval estimation instead of point estimation is required. Back-testing ES is a challenge for the financial institutions in terms of testing methods and data requirements. Basically, there will be higher requirement on the quality of the risk data, and all risk factors should be backed by real trades/transactions data.
As a high-level impact of FRTB on business and industry, regulators intend to improve transparency and comparability among banks. Going forward, banks will probably be required to apply both approaches. However, capital differences may be reduced since risk-weighted capital may decrease under the revised standardized approach, or it may increase under the revised IMA. ES must be calculated on a daily basis for the bank-wide internal model for regulatory capital purposes for each trading desk. In addition, there is an increasing importance of the quality of the data.
在四月初提交了关于交易账户的基本审查的量化影响学习之后，CCFA风险学习小组在4月16日举行了第三次学习。这次学习的主题是交易账户的基本审查。我们荣幸地邀请到了加拿大皇家银行的高级经理Jun Yuan，以及丰业银行的高级经理Lu Lin,为我们主导这次的圆桌讨论。参加讨论的还有加拿大其他银行风险管理方面的专业人士，以及学习小组的成员。两位演讲者都参加了之前的量化影响学习。
这次的讨论包括对交易账户的基本审查的介绍，市场风险方面新的监管规则，以及交易账户的基本审查对业界的影响。演讲者们对巴塞尔协定三的市场风险框架进行了概述。目前银行可以通过两个方法来测量市场风险：标准法以及内部模型法。对每一个交易专柜，银行需要进行至少每月一次的标准化的资本金计算。
内部模型法采用的是多个风险因子的方法，并必须通过OSFI的审批后进行运用。和风险价值（VaR）相比较而言，期望短缺值 （ES）也需每日计算，但通过对概率分布的整个尾部进行测量，而并非计算尾部上单一的点。因此，需要运用区间估计而并非点估计的方法来计算ES.由于对数据的要求提高，以及各风险因子必须用到真实的交易数据，目前各金融机构的从业者所遇到的挑战是如何运用测量方法以及如何收集处理数据来对ES进行回溯测试。
交易账户的基本审查对业界的影响是，监管人员在意图提高银行的透明度和可比较性。以后银行需要既采用标准法也采用内部模型法来进行资本金计算。但是，由于在修改后的标准法之下风险加权资产可能降低，而在修改后的内部模型法之下的风险加权资本可能上升，所以资本金的差别也可能降低。对每一个交易专柜，需要对ES每日进行计算。同时，数据质量将会变得更为重要。
