Leaked EU plans offer extra temporary relief for FRTB models
Risk factors would need only two observations to be modellable. Do changes foreshadow US Basel III?
The European Commission is considering further measures to temporarily relax rules governing banks’ use of their own models for calculating capital requirements within upcoming trading book rules.
Leaked proposals, dated March 17 and seen by Risk.net, would revise the internal models approach (IMA) by lowering the number of observations risk factors need in order to be included within the
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