FRTB: Basel guidance on backtesting frustrates dealers

Business people struggling with figures — Struggling with the figures: “This doesn’t make sense," says one market risk specialist

Louie Woodall
09 Feb 2017

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Dealers have been left frustrated by the Basel Committee’s response to questions on model backtesting under the revised market risk framework. One dealer complains the provisions – which seek to clarify the circumstances in which trading desks can ignore backtesting breaches that are attributable to illiquid risk factors – “make no sense”, while others interpret them as likely to load unjustified capital charges on to banks.

The committee’s FAQ document, published on January 26, addressing

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