December 31, 2024 (NO COMMENTS)

Internal models approach (IMA) users in the European Union saw market risk charges rise slower in the 12 months to end-June than counterparts that use standardised formulas. The discrepancy suggests a marginal benefit from the modelling privilege, which most dealers will relinquish in 2026, once the Fundamental Review of the Trading Book (FRTB) is implemented.

In the latest European Banking Authority Transparency Exercise, 39 banks using the IMA alongside the standardised approach (SA) saw