FRTB running costs force banks to weigh IMA desk by desk
Risk USA: Some desks “may not be able to pass these more rigorous standards”, says Morgan Stanley FRTB lead
The huge cost of complying with the incoming market risk framework is forcing banks to choose between the capital benefits of using internal models to gauge requirements for certain desks versus the practical costs of building and maintaining them.
Under the Fundamental Review of the Trading Book (FRTB), banks can choose between the internal models approach (IMA) and a more punitive and by no means simple standardised approach, under which capital requirements are determined by computing a
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