Final FRTB internal model rules get mixed reviews

Bankers divided on whether changes to two key tests will ease ‘penal’ capital charges

The Bank for International Settlements, Basel
The BIS, home to the Basel Committee on Banking Supervision
Ulrich Roth

The Basel Committee on Banking Supervision has lowered the hurdles for two key modelling tests in its market risk capital standards. But bankers are divided on how far the final amendments will improve the Fundamental Review of the Trading Book, with some warning that a failure to fully take on board industry criticism will still make certain aspects of the tests too difficult to pass.

“We welcome the Basel Committee’s revisions of the FRTB standards, particularly on non-modellable risk factors

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