Standardised FRTB leaves banks befuddled on residual risk
Benchmarking exercises find “weak consensus” among banks over notional values for exotics
The regulator-set methodology for calculating capital requirements under new prudential rules for market risk is known as the standardised approach. But despite the name, implementation may end up being far from consistent.
“There is a spectrum of interpretations and that’s not ideal, it requires some improvement and that’s really up to the regulators,” says a market risk professional at a North American bank.
The ambiguity lies within part of an extensive reform known as the Fundamental Review
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