Cold comfort for dealers at crunch FRTB meeting
Banks and regulators make little headway on P&L variance test
A meeting this week between dealers and international regulators has underscored how difficult it will be to address one of the industry's key complaints: the toughness of one of the tests used to decide whether banks can use internal models to calculate market risk capital requirements.
Dealers claim the test would be relatively easy to pass for directional, unhedged portfolios, but practically impossible to pass when positions are hedged.
"Clearly there is an appetite for a solution that would
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