April 17, 2024 (NO COMMENTS)

Isda AGM: All in-scope banks opt for standardised approach to market risk; Nomura eyes IMA in 2025

 

All three Japanese megabanks caught in the country’s early roll-out of Basel III have shunned the internal models approach (IMA) for calculating market risk capital under new trading book rules, citing high costs, complexity and a lack of data. The mass abandonment of the IMA is creating concerns around behavioural changes – such as herding into crowded trades – that could result from most banks using a single standardised approach instead. The lack of banks seeking to use the IMA comes as a