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

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