Banks make new push on FRTB’s P&L test

Industry calls for series of changes as regulators prepare new consultation, says Nomura’s Epperlein

The Bank for International Settlements, Basel
Basel Committee group is working on a set of proposals that would overhaul the regime
Photo: Ulrich Roth

Banks have renewed calls for changes to the new approval regime for market risk capital models, in an attempt to make one of its key tests easier to pass, and to reduce the impact of failure.

Some of the industry’s proposals were described by Eduardo Epperlein, global head of risk methodology at Nomura, who was speaking at the Quant Summit Europe conference in London yesterday (March 7). Without changes, Epperlein warned banks may abandon the use of models altogether, leaving them on the cruder

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