Banks find huge capital jump in FRTB impact study
The Fundamental review of the trading book QIS shows five-times increase under revised standardised approach to market risk
A new regulatory formula for the calculation of trading book capital is producing requirements that are up to five times higher than current levels – and seven times higher for rates trading desks – according to unpublished results from the third official impact study, which concluded last month.
Banks have been calling for the Basel Committee on Banking Supervision to carry out more analysis of a major overhaul known as the Fundamental review of the trading book (FRTB) later this year, after
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