One-quarter of market risk not modellable

US banks have largest portion of capital requirement set by the SA

Around one-quarter of large banks' market risk capital charges are calculated using regulator-set standardised approaches, Risk Quantum analysis shows.

The median bank out of a sample of 48 firms had 25% of their market risk capital requirement determined using the SA and 75% using the internal models approach (IMA) during the first half of 2018.

The nine US banks in the sample had the largest share dictated by the SA, at 54% on average. JP Morgan had the most market risk capital, 66%

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options