Capital sums set to drive FRTB desk decisions

Using Volcker desk structure may hurt model approval chances, banks say

Search for optimal FRTB desk structure will be tricky

Volcker rule compliance offers banks a place to start when deciding on a desk structure for incoming trading book capital rules – but it will only be a start, practitioners warn. Capital efficiency and other incentives could see the industry opt for larger, more diverse desks in some cases, and smaller, more focused ones in others.

Under the Fundamental review of the trading book, finalised in January, banks that want to calculate capital requirements using the internal models approach (IMA),

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