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Risk managementNovember 8 2023

EU banks take conservative approach to calculate market risk

Lenders are opting for the standardised approach to calculate their capital requirements, rather than internal models.
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EU banks take conservative approach to calculate market riskThe campus building of the Deutsche Bank AG headquarters in the financial district of Frankfurt, Germany. Image: Alex Kraus/Bloomberg

As the EU’s fundamental review of the trading book (FRTB) 2025 implementation deadline nears, banks are adopting a conservative market risk stance under the Basel III framework. 

Many lenders are opting for the standardised approach (SA) to calculate their capital requirements, avoiding the more complex and resource-intensive internal model approach (IMA), even if the SA leads to a higher capital charge. 

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