Banks turn away from FRTB internal models in Europe

Drawbacks mean even fewer model approval applications planned than past ECB survey suggested

Turning back

European banks are anticipating even fewer trading desks will be using their own models to calculate market risk capital requirements than supervisors have been predicting.

The European Central Bank’s single supervisory mechanism (SSM) conducted a survey in 2019, published in February 2020, to gauge the number of internal model approval applications they should expect to receive when new Basel Committee on Banking Supervision rules for market risk capital take effect.

The landmark survey

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 copy this content. Please contact [email protected] to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: