IMA to retain large role in setting market risk capital post-FRTB
Gyrations over 2020 mean a bigger share of market risk requirements could be underpinned by internal models post-reform
Basel III reforms will drastically expand standardised market risk modelling’s reach in the European Union – but in-house approaches may retain a bigger role in determining capital than previously estimated, European Banking Authority (EBA) analysis suggests.
Among Group 1 banks – internationally active lenders with more than €3 billion ($3.5 billion) of Tier 1 capital – some 23% of market risk capital requirements were determined by the standardised approach (SA) at end-2020.
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