PRA review of FRTB implementations

By David Phillips, Head of Traded Risk Measurement, PRA, Bank of England

Ahead of the upcoming Fundamental Review of the Trading Book Forum in London, David Phillips, Head of Traded Risk Measurement, PRA, Bank of England has released his PDF presentation from the 2017 Summit. These slides go in depth into:

• Key objectives of PRA’s supervisory approach
• Overview of review approach
• Extended pre-assessment ahead of final applications
  – New aspects of FRTB requiring early engagement with firms
  – The standardised approach and its expanded role
• Final application process
  – Importance of robust FRTB operational control environment
  – Desk-level approach
• Next steps