Banks hope final FRTB rules will ease NMRF burden
Internal models approach is buoyed by more liberal rules on price observations and risk factor aggregation
Banks have found reasons to be cheerful about the latest iteration of the Basel Committee’s revised market risk capital rules, which allow many more risk factors to be included in internal models without the need for costly add-ons. There’s one obvious reason for that: taken together, the new rules could nearly halve the spike in capital requirements contemplated in the previous review.
The January 2019 revisions to the Fundamental Review of the Trading Book addressed many of the issues banks
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