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Banks have hard capital-calculation choice under FRTB

Tuesday, February 12, 2019   (0 Comments)
Posted by: Amanda Averch
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Trade-offs between the standard approach and the internal model approach for calculating capital requirements under the Basel Committee on Banking Supervision's Fundamental Review of the Trading Book leave banks having to "pick their poison," says Vinod Bhaskaran, global solutions lead for trading, risk and regulation at Finastra. "It is still not clear how much of a relief this relaxation of modelability criteria will be for banks in terms of the capital-charge impact," Bhaskaran says.

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