Banks find new uses for discarded FRTB models
Much-maligned IMA models are being upcycled and repurposed for internal risk management
Turning unwanted objects into something more usable is the fashionable new way to save the planet. And now, banks are getting in on the act.
In 2019, the Basel Committee on Banking Supervision published final details of its Fundamental Review of the Trading Book – a decade-long effort to help steady banks’ market risk capital that stemmed from the 2008 capsize of global financial markets.
But banks faced challenges in applying one of the FRTB’s two central mechanisms – the internal models
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