Six EU banks need to fix market risk models – EBA

Nineteen firms underestimated capital requirements versus benchmarks

European supervisors are to intervene to sort out the underestimation of market risk capital requirements at six banks, following the results of a supervisory benchmarking exercise (SVB). 

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, had submitted incorrect data in the past or were flagged as problematic after supervisory interviews. 


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