Basel to scrap automatic fails for P&L test
“Amber zone” will protect near-miss desks, but regulators not convinced by NMRF complaints
International regulators have proposed major changes to market risk capital rules that were originally finalised more than two years ago, including a revamp of the crucial test that banks must pass if they want to model their own capital requirements.
Banks had argued the original profit-and-loss (P&L) attribution test was too hard to pass and would force many trading desks on to the regulator-set standardised capital requirements instead. Under proposals published on March 22 by the Basel
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