June 17, 2024 (NO COMMENTS)

Senior modellers think supervisory intervention is needed to prevent funding drought

 

The advent of a new, sophisticated method for banks to calculate their capital requirements for market risk should have been a dream opportunity for risk modellers. Instead, it threatens to turn into a nightmare of funding cuts, as growing numbers of banks choose to abandon internal models for regulatory capital altogether. Now, the modellers whose jobs are jeopardised are calling for intervention from the people who triggered the stampede towards standardised approaches in the first place – the