FRTB Bank for International Settlements（FRTB国际清算银行）.pdf

FRTB Consultation Paper 3 response Thelma Stahlie – Trading Risk Consolidation Frits Hermans – Trading Risk Quantitative Analytics Contents As requested by TBG, for this response we confine ourselves to the updates in the Consultative Document and the latest Instructions for Basel III monitoring. We emphasize that many questions and doubts on the methodological soundness that we raised in previous consultations are not yet fully addressed . * ** To answer question 1 and 2 , we discuss the next topics in this consultation response: • Balance between simplicity, comparability and risk sensitivity • Internal risk transfers between the banking book and the trading book • The revised standardised approach for market risk • Incorporating the risk of market illiquidity in the internal models approach * Q1 What are your views on the specific refinements described in the three sections of this consultative document? ** Q2 Do these specific proposals strike the right balance between simplicity, comparability and risk sensitivity? 2 Balance between simplicity, comparability and risk sensitivity Balance between simplicity, comparability and risk sensitivity ING appreciates the efforts taken by TBG to amend the framework by extending and refining requirements. However, we believe the current framework has become overly complex. Moreover, we observe that each refinement of the framework introduces new flaws. • SBA as a floor: When the SBA is used as a capital floor, a disincentive to improve models is introduced. Eventually, traders might construct their portfolios in order to minimize capital requirements instead of hedging their exposures. • Simplicity: The standardised approach is meant as a relatively simple fallback for small banks. However, the standardised approach is extremely complicated. The interna