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I gather that there are still a good number of banks working on the internal models approach, but very likely not for their full trading book perimeters
European investment bank risk manager
From the client’s and the clearing broker’s perspective, there’s philosophically a rational concern with just opening the floodgates and saying: ‘Whatever someone offers me, I’ll take’
Finbarr Hutcheson, formerly of Ice Clear Europe
If your hedging strategy is a little bit sloppier and the hedges are less accurate, it will give you an advantage on the P&L attribution test
Head of risk modelling, European investment bank
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Banks relieved as EBA punts on dual-track stress tests
Hybrid approach for 2023 will see top-down models used to project net fee and commission income only
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