FRTB: Basel mulls capital relief for internal model desk fails

Market risk group member describes intermediate capital charge for desks that marginally fail the P&L attribution test 

Photo of dollar bill

The Basel Committee is drawing up plans that would see bank trading desks which lose the right to model their own capital requirements under forthcoming market risk rules spared the full impact of resulting capital spikes, Risk.net has learned.

Under the incoming framework known as the Fundamental Review of the Trading Book, dealers may calculate their capital requirements for individual trading desks using an internal model – but only if each desk passes a new profit-and-loss attribution test,

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 indvidual account here: