Trading book QIS: residual risk is 'killing everybody'

Residual risk add-on more broadly applicable than first thought under Basel rules

mess-of-numbers
Crunched by the numbers: FRTB produced overall hike equal to 4.2 times existing market risk capital levels

An add-on for residual risk in the Basel Committee’s revised trading book capital rules is driving nearly half of a four-fold increase in regulatory capital, as seen in a recent quantitative impact study (QIS) conducted by banks.

The QIS, based on the committee’s Fundamental review of the trading book (FRTB), had been underway since July and was wrapped up last month.

Industry sources are shocked by the extent to which the add-on for residual risk has pushed up regulatory capital numbers for

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: