Basel Committee drops fixed correlations in new trading book proposals
The Basel Committee on Banking Supervision has dropped plans to work out trading book capital requirements using regulator-set correlations – a step that is already being welcomed by some bank capital and modelling experts. The u-turn appears in revised proposals for the committee's Fundamental review of the trading book, which was published on October 31.
The idea of using fixed correlations to aggregate modelled, desk-level capital numbers was one of the most controversial elements of the
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