Cold comfort for dealers at crunch FRTB meeting

Banks and regulators make little headway on P&L variance test

roadsign frozen
On ice: any agreement between dealers and supervisors on FRTB tests is on hold

A meeting this week between dealers and international regulators has underscored how difficult it will be to address one of the industry's key complaints: the toughness of one of the tests used to decide whether banks can use internal models to calculate market risk capital requirements.

Dealers claim the test would be relatively easy to pass for directional, unhedged portfolios, but practically impossible to pass when positions are hedged.

"Clearly there is an appetite for a solution that would

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: