Amber zone in new P&L test ‘almost useless’, say banks
Analysis shows many desks would not benefit from safe harbour in Basel FRTB proposals
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
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