FRTB may lead banks to take more risk, says Deloitte
Analysis shows some trading desks receive lower capital with stressed market risk charge
A new set of trading book capital rules due to be finalised by the Basel Committee on Banking Supervision this month could lead banks to take on more risk, reveals an analysis by consultancy firm Deloitte.
The analysis found that having to calculate capital under a stressed scenario – as the committee’s Fundamental review of the trading book (FRTB) demands – meant certain credit and options desks would consume less capital, even if they were riskier under more recent market conditions.
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