Banks find huge capital jump in study of new standardised approach to market risk
QIS shows five-times increase under revised standardised approach
A new regulatory formula for the calculation of trading book capital is producing requirements that are up to five times higher than current levels – and seven times higher for rates trading desks – according to unpublished results from the third official impact study, which concluded last month.
Banks have been calling for the Basel Committee on Banking Supervision to carry out more analysis later this year, after plans for a fourth quantitative impact study (QIS) were scrapped. Regulators aim
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