FRTB revamp won’t restore models to past glory, risk managers say
Market risk experts doubt slated changes to new trading book rules will convince many banks to use internal models for calculating capital requirements to the same extent they have done under the previous prudential regime.
“We are not returning [to] a broad, bank-wide, all-desks adoption,” said Alexandros Doukas, head of traded risk model validation at Barclays.
He said signals in the industry
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