FRTB: banks grapple with hard-to-model risks

Swiss, UK bank efforts to comply with regulators’ risks-not-in-VAR rules may be undone by transition to FRTB

Image of risk factors

This week, the Basel Committee on Banking Supervision convened its policy development group in Madrid, with a lengthy to-do list.

The publication of Basel III in December marked the end of a years-long effort to finalise post-crisis reforms of the regulatory capital framework – accompanied by a prolonged lobby battle by the industry. But for one aspect of the rules – the revised market risk framework – the battle is just beginning.

Critics claim Basel has yet to fully address concerns with two

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