Regulators demand action on rogue market risk models

European supervisors have identified eight banks out of 49 assessed in a recent supervisory benchmarking (SVB) exercise as requiring urgent action to remedy issues with their market risk models.

The banks deemed ‘high priority’ for intervention were those that produced outlying own-funds requirements for market risk when they applied their internal models to a series of benchmark portfolios, tripped other metrics calculated for the SVB or were found to have other issues following supervisory

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