BBVA gets forex model update from ECB
Foreign exchange risk added €366 million in capital requirements in 2017
BBVA won regulatory approval to overhaul its calculation of foreign exchange risk in the second quarter, which may have helped shrink its market risk-weighted assets (RWAs).
In its second quarter earnings report, BBVA said it had received authorisation from the European Central Bank to update the component of the standard model that calculates forex risk. The Spanish bank computes RWAs using its own internal models and the regulator-set standard model. Structural exchange-rate risk – the
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