Nomura wins NMRF reprieve from Japan’s FSA
Relief granted due to scarcity of vendors offering pricing data for market risk models
Nomura, the first and only bank using its own models to calculate market risk capital under new rules known as the Fundamental Review of the Trading Book (FRTB), has been granted a reprieve from one of the most contentious parts of the regime: the requirement to separately capitalise risk factors that lack observable pricing data.
Banks opting for the internal models approach (IMA) must run a risk
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