Banks fear more trades will be caught in NMRF trap

“Many risk factors now will essentially look like NMRFs,” says North American bank’s risk manager

growing dollar costs
Annex D in Basel’s consultation states the use of proxy data “must be limited”

Banks are concerned that proposed amendments to the Fundamental Review of the Trading Book could increase the number of extraneous risk factors they are expected to capitalise outside their models – potentially loading more costly add-ons onto already inflated market risk capital charges.

Market participants’ anxiety over a potential increase in non-modellable risk factors (NMRFs) stem from an appendix included in the Basel Committee on Banking Supervision’s recent consultation on amendments to

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