Standardised approaches lose out in FRTB update
Ratio of standardised approach to IMA capital estimated to increase
Amendments to the Basel Committee’s revised market risk framework would widen the gap between dealers using internal model and standardised approaches, according to the standard-setter’s impact analysis.
Basel published revisions to the package, known as the Fundamental Review of the Trading Book (FRTB), on January 14 to address issues raised with the 2016 iteration.
Though Basel's own impact analysis predicts a lower weighted average capital uplift on existing requirements overall under the
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