Basel FRTB capital impact study confused by outliers
Three systemic banks that submitted data to the Basel Committee on Banking Supervision (BCBS) on the effects of capital rule changes were branded “outliers” by the standard-setter for “overly conservative” assumptions concerning the revised market risk framework. One of the outliers projected that its market risk capital requirement would jump 531% once the new rules were fully phased in.
The latest Basel III monitoring exercise, released today (December 10), shows the estimated capital impact
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Risk Quantum
Risk management
Union beckons for the three quant tribes
Studies may be deferred, but future for grads is bright, argues UBS’s Gordon Lee
Receive this by email