UBS takes standardised approach for FRTB – for now
Swiss bank is one of the largest to drop internal models; sources say it could switch later
UBS has decided it will not initially use its own models to calculate capital requirements for market risk, following a revamp of local trading book capital rules. The Swiss bank’s annual report – published on March 14 – states UBS Group has adopted the regulator-set standardised approach.
Some observers are not surprised UBS is shying away from the internal models approach (IMA) immediately after moving to the new market risk capital framework. There is already a clear trend of banks choosing
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