Despite data challenges, the bank is opting for the IMA to enhance risk management
Why FRTB model test loves volatility, but hates hedges
Crucial P&L test for internal models easier to pass if price swings are large, or desks poorly hedged
Simm template to be expanded for SA-CCR and FRTB
Crif-plus will capture risk exposures for all instruments, boosting optimisation potential
FRTB running costs force banks to weigh IMA desk by desk
Risk USA: Some desks “may not be able to pass these more rigorous standards”, says Morgan Stanley FRTB lead
Global banks fear Hong Kong frontrunning FRTB
Local subsidiaries of EU and US banks may be forced to adopt models before their parents
FRTB internal models in fight for survival
Basel III capital floor leaves banks struggling to justify own-models approach, say risk experts