‘Nightmare’ of uncertainty plagues FRTB model applications

Shifting timetable and rule tweaks that could alter incentives dampen appetite for internal models

After more than a decade of wrangling over a new framework for calculating trading desks’ capital requirements, banks believe an end may finally be in sight – though it may not be the outcome anyone had been intending.

Banks across the European Union are trying to plan and implement their own market risk models and tests – huge projects in and of themselves – against a highly uncertain