The strange effect of US clampdown on FRTB models

Ban on internal models for trading book default risk could provide some banks with unexpected capital relief

The cull of credit risk models continues. Now, US banks are discovering that the purge is spreading from loan book to trading book.

Embedded in the market risk framework is a form of credit risk assessment that banks use to calculate losses from potential defaults by the issuers of securities held in the trading book. Proposed rules due to come into force in 2025 will prevent banks from using their own models to determine these losses. Instead, they will have to use a regulator-defined

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 or view our subscription options here:

You are currently unable to copy this content. Please contact 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 View our subscription options

You need to sign in to use this feature. If you don’t have a 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