Banks seek to counter FRTB internal model add-on

Parallel shifts and trading desk reshuffles mooted as fix for non-modellable risk factors

State of play: banks are considering moves to repel non-modellable risk factors

Banks are casting around for ways to reduce the impact of an add-on for non-modellable risk factors in the Basel Committee on Banking Supervision’s new trading book capital rules, including by tweaking their internal models and reorganising trading desks.

The revelations came during a panel discussion at the Traded Risk conference in London yesterday (April 14), which focused on the committee’s Fundamental review of the trading book (FRTB).

Released in January, the final FRTB rules include two

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