Dealers slam Basel plans for hard-to-model trading risks

FRTB would prevent modelling for too many risk factors, critics claim

Eduardo Epperlein
Eduardo Epperlein, Nomura

Dealers have hit out at the Basel Committee on Banking Supervision's proposed capital surcharge for hard-to-estimate market risks, arguing it could catch even relatively standardised products.

Under the committee's draft revisions to trading book capital rules, any trading desk that is allowed to model its exposures would calculate the expected shortfall for each risk factor, adding an extra charge for default risk. For risk factors the desk is deemed unable to model, each factor would have to

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