Why Canada is giving FRTB internal models the cold shoulder
“Crazy” cost of tech upgrades among reasons why banks snub own models to calculate market risk capital
The winter thaw is fast approaching in Canada. Yet, one part of the country’s new capital regime for market risk has gained an icy reception from bankers.
None of the big five Canadian banks have chosen to use the internal models approach (IMA) for calculating market risk capital under new trading book rules that took effect in January. Bank of Montreal, CIBC, Royal Bank of Canada, Scotiabank and TD Bank are all using the standardised approach instead.
Why? The IMA requires banks to run many more
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