US FRTB glitch could spit out negative capital charges
Effort to recognise risk diversification between IMA and standardised approach went too far
Proposed revisions to the way US banks calculate capital requirements for their trading risks conceal a “design flaw” with the potential to provide uncapped capital relief, according to four quantitative modelling sources.
Although banks would find it difficult to meet the conditions necessary to end up with negative risk-weighted assets (RWAs) for trading risk, some say regulators will still
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