Wells Fargo opts for FRTB’s standardised approach

Risk USA: Complexity of internal models drives big bank to an approach designed for smaller ones

Wells Fargo, one of the world’s largest banks, plans to adopt the regulator-set standardised approach (SA) instead of modelling its own market risk capital requirements under the Fundamental Review of the Trading Book.

“We will definitely do SA,” said Han Zhang, head of market risk analytics at Wells Fargo. He said that when Wells meets the requirements to do internal modelling, it would switch “down the road”. He added: “But SA, we definitely will implement that.”

Zhang was speaking on a