FRTB

Revised Basel framework for market risk capital.

Definition

FRTB introduces Sensitivities-Based Method (Delta, Vega, Curvature), Default Risk Charge, Residual Risk Add-On. IMA requires Expected Shortfall (instead of VaR), Non-Modellable Risk Factors. EU CRR3 implementation 1 January 2026 ; US Final Rule July 2025.

Origin

Published by BCBS (Basel Committee) in January 2016, revised January 2019 (BCBS 457).

Example in context

A bank computes SA-FRTB for its FX portfolio: FX risk class, sensitivities, bucket deltas.

Related terms

• FIRDS — instruments data.