Fundamental Review of Trading Book (FRTB): Quick Recap (FRM Part 2, Book 1, Market Risk) 

Thank you for appreciating, Francisco.

Thank you for the appreciation, Philip.

Could not agree more....Crisp and clear...Well explained. Appreciate the efforts.

Glad that the video was helpful, Darshana.

Thank you for the kind words, Prof. Hassan. At the moment, no, but will cater to this in one of the future videos.

Hello Raj, that's right. The video follows the FRM prescribed reading from John Hull's book on Risk Management and Financial Institutions (2018 edition). Will put in updates for PnL attribution in due course.

Hello Anand, 10/20/60/120/250 as per the 2014 consultative document when the idea was proposed to do away with the standard 10-day horizon used by VaR, and then later revised to 10/20/40/60/120.

Hello Saurabh, this video relates to Part 2 of FRM. It reviews the prescribed FRTB reading in single video, so there aren't two parts to it.

If backtesting done for 97.5% confidence daily VaR results in more than 30 exceptions, the trading desk will have to switch to standardized approach till the issues with the model are sorted out.

@@finRGB ok so if our losses comes out to be more than VaR for more than 30 times we have to switch to std approach right. But since it is an internal model approach why r we restricted to 97.5% CI, why can't we take hight CI. I understand that it's given by regulator but shouldn't the board of tha bank decide the CI? Btw thanks for replying and also great video man i was reading about frtb but this video was very very helpful great work

​@@bharatchoudhary4424 Your understanding is correct. With regards to choice of 97.5%, we are looking for a way to test an internal model that is based on Expected Shortfall prescribed to be calculated at 97.5% confidence. Expected Shortfall is not easy to backtest, so we backtest a proxy i.e. VaR and that too at two confidence levels: 97.5% and 99% confidence.