Details of vital FRTB model test still up for grabs

Banks argue valuation adjustments should be left out of the model approval process


The workings of a key test in the Basel Committee's Fundamental review of the trading book (FRTB) are still being debated by regulators, six months after the new capital rules were finalised.

In calls and meetings, the industry has raised several questions about the running of the profit-and-loss (P&L) attribution test, which determines whether banks are allowed to model their own capital requirements or will have to apply the far tougher standardised capital treatment.

Should your model be

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