Basel group said to weigh changes to key FRTB test
EC and EBA officials criticise low pass rates for P&L attribution test
Regulators are said to be considering changes to a controversial test that determines whether banks can model their own trading book capital requirements – potentially making the test easier to pass.
Speaking at a conference in London on May 23, Mikael Katz – a market risk expert seconded to the European Commission from the Bank of England – said international regulators recognise there are problems with the profit-and-loss (P&L) attribution test and are reviewing alternatives.
“They are
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