For a large Dutch bank we conducted a Proof-of-Concept (PoC) for the way the trading book should be capitalized for. We implemented a Minimum Viable Product (MVP) for both the Standardized and Advanced implementation for the trading book with respect to the regulation as described in the Fundamental Review of the Trading Book (FRTB). Based on the MVP, senior management was able to make a decision regarding the most appropiate way forward. The MVP moreover allowed for different impact and scenarios analyses”.
Informed decisonmaking on how to capitalize the trading book. Improved scenario analyses. MVP for standardized and advanced implementation.