Why FRTB models are on the edge of extinction
With only four banks known to be applying to use internal models for market risk, the fate of advanced modelling looks precarious
It wasn’t meant to be this way. When the mandarins at the Basel Committee on Banking Supervision mooted a sweeping overhaul of trading book capital rules, the intention was for banks’ advanced models to form a key part of the new regime.
The reality is very different. As the new rules come into force, only four banks are known to be applying to their supervisor to use advanced modelling for market risk: BNP Paribas, Deutsche Bank, Intesa Sanpaolo and Nomura. If internal models were a species
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