FRTB internal models in fight for survival

Basel III capital floor leaves banks struggling to justify own-models approach, say risk experts

BIS
Ulrich Roth/Risk.net montage

The Basel III package of capital reforms imposes constraints on risk-weighted assets calculated using internal models. The rules are forcing large lenders to weigh up whether to abandon their own models in favour of the regulator-set standardised approaches.

The much-debated capital floor of 72.5% allows one model type – typically the advanced internal ratings-based approach (A-IRB) for credit risk – to consume the capital benefit across all risk types, removing the commercial case for any

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: