Default and credit spread risks drive Canadian banks’ FRTB charges
New Basel III disclosures give first glimpse into market risk mix after internal models retirement
Default and credit spread risks made up more than half of Canada’s top dealers’ trading book capital requirements as of end-October, a Risk Quantum analysis of the banks’ inaugural Basel III disclosures reveals.
Default risk underpinned 26.3% of the combined C$99.3 billion ($68.8 billion) in market risk-weighted assets (RWAs) among the ‘big five’ banks, with credit spread risk accounting for an
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