Banks make new push on FRTB’s P&L test

Banks have renewed calls for changes to the new approval regime for market risk capital models, in an attempt to make one of its key tests easier to pass, and to reduce the impact of failure.

Some of the industry’s proposals were described by Eduardo Epperlein, global head of risk methodology at Nomura, who was speaking at the Quant Summit Europe conference in London yesterday (March 7). Without changes, Epperlein warned banks may abandon the use of models altogether, leaving them on the cruder