FRTB: banks grapple with hard-to-model risks

Swiss, UK bank efforts to comply with regulators’ risks-not-in-VAR rules may be undone by transition to FRTB

Image of risk factors

This week, the Basel Committee on Banking Supervision convened its policy development group in Madrid, with a lengthy to-do list.

The publication of Basel III in December marked the end of a years-long effort to finalise post-crisis reforms of the regulatory capital framework – accompanied by a prolonged lobby battle by the industry. But for one aspect of the rules – the revised market risk framework – the battle is just beginning.

Critics claim Basel has yet to fully address concerns with two

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: