Basel Committee completes trading book review
Banks face higher market risk capital charges
The Basel Committee on Banking Supervision unveiled its long-awaited Fundamental review of the trading book (FRTB) today (January 14), setting out changes to the market risk framework that will lead to higher capital charges for many banks.
The review tackles shortcomings in both the internal model and standardised approaches to modelling market risk, more clearly delineates the boundary between trading and banking books, and attempts to strengthen the approach to provisioning for crises.
The
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