Asian banks cry foul over FRTB’s currency risk weights
Basel’s risk weights under SBA said to unfairly penalise banks reporting forex risk positions in non-G3 currencies
New market risk rules will unfairly penalise lenders that report their foreign exchange positions in less liquid currencies, emerging market lenders claim – putting them at a disadvantage to their international rivals when competing for the same business.
Under the Basel Committee’s Fundamental Review of the Trading Book, two banks opting to use the sensitivities-based approach (SBA) to calculate their market risk can end up facing vastly different capital requirements on the same book of risk
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