Inconsistent FRTB Model Guidance Vexes Dealers
By Louie Woodall
February 16, 2017, Risk
Conflicting demands contained within the Basel Committee on Banking Supervision’s revised market risk capital framework have left dealers confused over how best to calibrate their internal models.
The regulatory shake up, known as the Fundamental review of the trading book (FRTB), allows banks to use an internal models approach, or IMA, to calculate a trading desk’s market risk capital requirements – so long as they pass a series of supervisory checks. One of these checks – the P&L attr…