Can Europe’s FRTB refurb bring banks back to Club IMA?
Softening the NMRF regime permanently might have the most impact, but the output floor still hurts
A nightclub’s new look is supposed to excite revellers tired of the same old atmosphere. But the global revamp of an exclusive club designated for banks using their own models to calculate market risk capital has done precisely the opposite, with many turning away.
The European Commission is looking for a way to restore the internal models approach (IMA) to its former glory, setting out changes to the Fundamental Review of the Trading Book (FRTB) designed to remove some of the most unwelcome
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