Amber zone in new P&L test ‘almost useless’, say banks

amber light_Getty - web.jpg — Amber zone: “The gap between going into green and red doesn’t make much difference,” says a market risk manager

Samuel Wilkes
@wilkkes
03 Jul 2018

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

Parameters set by international regulators for trading desks to qualify for an intermediate capital charge under suggested amendments to market risk capital rules are too restrictive to avoid cliff effects in capital, according to bankers who have simulated the impact of the proposals.

Regulators aim to give banks more breathing space in a key modelling test by introducing an “amber zone”, alongside a simple pass or fail.

“The calibration they have made for the parameters is too narrow,” says

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact [email protected] to find out more.

You are currently unable to copy this content. Please contact [email protected] to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]