One-quarter of market risk not modellable
US banks have largest portion of capital requirement set by the SA
Around one-quarter of large banks' market risk capital charges are calculated using regulator-set standardised approaches, Risk Quantum analysis shows.
The median bank out of a sample of 48 firms had 25% of their market risk capital requirement determined using the SA and 75% using the internal models approach (IMA) during the first half of 2018.
The nine US banks in the sample had the largest share dictated by the SA, at 54% on average. JP Morgan had the most market risk capital, 66%
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