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
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