Purpose - This paper measures different market risk impacts on options portfolios under the new Fundamental Review of the Trading Book (FRTB) regulation, issued in Basel and coming into effect in 2023. Design/methodology/approach - This paper first suggests an algorithm for implementing the FRTB...

The changes in the Basel FRTB regulation come into effect in 2023 and will expose banking institutions to new challenges in terms of implementation, risk quantification and impacts on capital requirements. This paper first suggests an algorithm for implementing the FRTB standardised approach via...