The FRTB rules text, "Minimum capital requirements for market risk," revised both the standardized approach and the internal models approach. Under the internal models approach, banks calculate one-tailed 97.5% expected shortfall daily and use liquidity horizons of 10 to 120 days depending on the market liquidity of each risk factor. In Japan, the notice based on this rules text and related documents has applied since March 31, 2023. After the transitional measures, implementation takes place on March 31, 2024 or March 31, 2025, depending on the bank's category.
FRTB
- Japanese
- FRTB
- Last reviewed
- September 26, 2026
This is a draft, shown for review before publication.
The FRTB (Fundamental Review of the Trading Book) is the framework for banks' minimum capital requirements for market risk, published by the Basel Committee on Banking Supervision in January 2016 and revised in January 2019. Under the internal models approach, it replaces VaR with stressed expected shortfall (ES calibrated to a stress period).