---
title: FRTB Impact on Market Risk
url: https://www.ml-quant.com/papers/ssrn/4727740/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4727740
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4727740
featured: 2024-02-21
citations: unknown
topic: Trading, Microstructure & Execution
---


# FRTB Impact on Market Risk

The study examines the impact of the Basel Fundamental Review of the Trading Book on banks' capital requirements, predicting significant increases in regulatory capital.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4727740
- Identifier: SSRN 4727740
- Released: 2023-10-02
- First featured: Quant Letter No. 38 (2024-02-21): https://www.ml-quant.com/issues/2024-02-21/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Trading, Microstructure & Execution

## Related

- [Liquidity Provision on DEX](https://www.ml-quant.com/papers/ssrn/4694683/): Decentralized exchanges' infrastructure can lead to arbitrage losses for liquidity providers, with design changes offering limited reduction in these losses, as shown in a study using the Silicon Valley Bank collapse.
- [A Panorama of Liquidity Creation in Turkish Banking Industry: Highlights, Determinants and Consequences](https://www.ml-quant.com/papers/ssrn/4823938/): The paper studies liquidity creation in the Turkish banking sector, emphasizing the importance of capital adequacy, ownership structure, and competition level.
- [Liquidity Mismatch in Payment Risk and Bank Lending](https://www.ml-quant.com/papers/ssrn/4602766/): Banks are at risk of liquidity issues due to unpredictable payment flows, which can hinder lending and monetary policy, particularly during financial crises.
- [Treasury Market Liquidity Evolution in 2023](https://www.ml-quant.com/papers/ssrn/4605041/): The article discloses that liquidity conditions in the U.S. Treasury securities market deteriorated suddenly in March 2023 following two banks' failures, but quickly recovered, with liquidity continuing to closely follow the level expected by the path of interest rate volatility.
- [Bank Trading Profit](https://www.ml-quant.com/papers/ssrn/4898830/): Large U.S. dealer banks make substantial profits from their trading desks, which serve as financial intermediaries, without taking on market risk in the asset markets they mediate.
- [Unrealized asset loss, liquidity risk from uninsured deposit outflows and bank runs: Evidence from the 2023 banking stress](https://www.ml-quant.com/papers/ssrn/4911252/): The Spring 2023 banking stress analysis reveals a potential $1.6 trillion loss for the U.S. banking system and identifies 20 banks at risk if half of uninsured deposits are withdrawn.