Hull RMFI, Chapter 18: Fundamental Review of the Trading Book Study Notes cover the following learning objectives:
Describe the changes to the Basel framework for calculating market risk capital under the Fundamental Review of the Trading Book (FRTB), and the motivations for these changes.
Compare the various liquidity horizons proposed by the FRTB for different asset classes and explain how a bank can calculate its expected shortfall using the various horizons.
Explain the FRTB revisions to Basel regulations in the following areas
Classification of positions in the trading book compared to the banking book
Backtesting, profit and loss attribution, credit risk, and securitizations