ECB tells IMA banks to apply before rules are complete

Dealers criticise “unreasonable” timetable for FRTB model approvals, revealed in September call

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ECB may require IMA applications while rules are still under construction

European banks that want to calculate their own trading book capital requirements will have to apply for approval before the rules have been finalised, under a timeline sketched out by the European Central Bank in a September 29 conference call with banks.

The schedule gives banks just over a year to build their models. Dealers say this is unrealistic, in large part because key elements of the rules will not be finalised – including a revised version of the test that acts as a gateway to the

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Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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