Nomura’s FRTB models reap 33% saving on debut
Trading desks cleared for new IMA’s use win ¥225 billion relief on end-March capital requirements
New models revolving around expected shortfall enabled Nomura to shave a third off market risk charges as of end-March, in the worldwide debut of the internal models approach (IMA) under the Fundamental Review of the Trading Book.
Capital requirements for trading desks with IMA approval – those in the ‘green zone’, in the FRTB’s supervisory parlance – totalled ¥75.7 billion ($514 million), ¥225
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