FRTB: Basel mulls capital relief for internal model desk fails
Market risk group member describes intermediate capital charge for desks that marginally fail the P&L attribution test
The Basel Committee is drawing up plans that would see bank trading desks which lose the right to model their own capital requirements under forthcoming market risk rules spared the full impact of resulting capital spikes, Risk.net has learned.
Under the incoming framework known as the Fundamental Review of the Trading Book, dealers may calculate their capital requirements for individual trading desks using an internal model – but only if each desk passes a new profit-and-loss attribution test
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