
Prop traders rebuffed by FCA on capital modelling
Non-banks may have to use tougher market risk approach than bank competitors

A group of European proprietary trading firms has been rebuffed by the UK’s Financial Conduct Authority (FCA) over plans to calculate their own market risk capital requirements using a model the traders would develop for their collective use. Internal models are more risk-sensitive than the standardised alternative – often generating smaller capital requirements – but require regulatory vetting and sign-off.
A new capital regime for the sector is scheduled to come into force at the start of
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