Banks hope final FRTB rules will ease NMRF burden

Internal models approach buoyed by more liberal rules on price observations and risk factor aggregation

Banks have found reasons to be cheerful about the latest iteration of the Basel Committee’s revised market risk capital rules, which allow many more risk factors to be included in internal models without the need for costly add-ons. There’s one obvious reason for that: taken together, the new rules could nearly halve the spike in capital requirements contemplated in the previous review.

The January 2019 revisions to the Fundamental Review of the Trading Book addressed many of the issues banks

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

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 individual account here: