Fundamental review of the trading book - Stato dell’arte sulle implementazioni dell’Internal Model Approach

Abstract

In light of the finalization of the new regulatory framework for market with the adoption of the FRTB at EU level through the publication of CRR III, financial institutions are consolidating the implementations aimed to comply with the new regulatory requirements. The main purpose of this article is to analyze how banks are preparing for the go-live of IMA FRTB reporting – expected to be in January 2024 – focusing on the challenges that they are facing especially in terms of model transformations. In particular, an in-depth analysis will be carried out on the main methodological issues of the new regulatory context technicalities,in order to provide guidelines and market best practices on the Internal Model Approach (IMA) topics shared between Front Office, Risk Management as well as Control Structures.