Can the US FRTB revamp make the IMA great again?
Banks are finally presented with a viable internal models framework under Basel III’s market risk rules
Before the Basel Committee on Banking Supervision published its final iteration of the Fundamental Review of the Trading Book (FRTB) in 2019, the use of internal models for calculating trading risks was flourishing – across the globe, most banks modelled their trading books under the internal models approach, or IMA.
Competitive considerations led banks to seek the advantages of lower capital
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