這些年來我們看到對於大型和中型銀行普遍在計算第一支柱資本時使用內部模型法的做法，越來越多的監管表示了懷疑甚至抵觸的情緒。尤其是去年當巴塞爾委員會發布了一系列對各家銀行所使用的內部模型不一致性的調查以及最終決定叫停操作風險內部模型法的使用後，很多人都在猜測， 是不是我們將會看到終有一天，在不遠的將來，監管將會叫停所有風險類別的內部模型法？

今天在Linkedin上看到一篇我認為很有前瞻性的文章，作者指出即使我們可以認為FRTB作為呼之欲出的巴塞爾四協議當中最早成熟的那部分，並且FRTB的最終稿還是接受了內部模型法作為銀行可以選擇的一種選項之一。但監管已經給內部模型法加上了相當多的限制條件，比如要求內部模型法的資本要求需要和標準法的資本要求相比較，並且內部模型法的資本要求需要不低於標準法資本要求的某個比重。

這樣的要求跟銀行的管理者提出了一系列問題，如內部模型法還是合理的投資嗎， 以及究竟什麼時候啟動FRTB項目的建設。對於risk quant來說，也意味著更大職業前景上的不確定性。這篇文章的英文全文可見下文。

另外，我對risk quant的職業前景持整體樂觀態度，具體原因我將會在即將推出的知乎live中詳細與各位討論。

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FRTB: the Last Chance Saloon

By Peter Thompson

https://www.linkedin.com/pulse/frtb-last-chance-saloon-peter-thompson?trk=prof-post

The indisputably clear trend of the 『Basel 4』 proposals[1] is to move away from internal model approaches (IMA』s) for Pillar 1 capital. IMA』s are proposed to be abolished for swathes of wholesale credit, as well as operational risk. And where IMA options have been allowed to remain, their use is proposed to be either constrained in terms of the input parameters or floored by the Standardised Approach (SA) charge.

The Fundamental Review of the Trading Book (FRTB) is really the first part of 『Basel 4』 to have reached a (mostly) finalised form. And it leaves IMA as an option for market risk. But as banks contemplate the expensive and likely protracted undertaking of whether to pursue IMA accreditation, it is hard to escape the feeling that the FRTB might be the Last Chance Saloon for internal models in market risk.

Banks are currently working to estimate the maximum capital saving that might be achievable if they elect to pursue IMA accreditation, and whether those savings justify the industrial-scale faff[2]. The backs of envelopes within banks are being filled with guesstimate maths to quantify

Max capital saving = (1-floor%) x (SA charge)

even though the level of the floor is not yet known, and nor are the specific details of precisely how the SA floor will be applied to the IMA charge. But the real issue is this: many banks by now have rough numbers which quantify the potential capital saving that might hypothetically be achieved today – but will those savings be realised in three or four years』 time, when the FRTB framework goes live?

A central design aim of the FRTBs new SA charge was to provide a credible fallback to internal models. And the essence of that credibility is that the magnitudes of the IMA charge and the SA charge should not be too disparate. So if there is a 『big』 difference, why would Basel regulators not just recalibrate the SA charge to narrow the gap?

One of the unnerving implications to be drawn when comparing the final version of the FRTB rules, released in January 2016, with the previous draft of the rules, from July 2015, is the apparent willingness of Basel regulators to turn on a dime to recalibrate the SA capital charge. At the stroke of a pen, the final FRTB Standard doubled the FX risk weights, and increased the general interest rate risk (GIRR) risk-weights by 50%[3]. With nearly fouryears before FRTB may go live, there is a lot of scope for tinkering with prescribed risk-weights and correlations – especially since most of the industry hasn』t really got down and dirty doing rigorous parallels of the IMA and SA charges, over an extended period. So regulators dont yet have a clear idea of how different the two charges might actually be. Who knows if the actual capital savings in 2019 are going to be the same as they are in 2016? And this is separate to the question of whether the savings are compelling enough in 2016 to make the pursuit of IMA even a consideration.

Maybe an overriding concern, given the clear thrust of the Basel 4 proposals, is that the industry may conceivably be just one more crisis away from the point where regulators pull the plug on internal models for market risk altogether. Given the massive upfront and ongoing investment required by banks if they are to, firstly, seek to gain and then, secondly, maintain IMA accreditation, decision makers should not ignore this possibility, or that of the SA charge being a moving target between now and a distant implementation date. Since FRTB will make the SA charge a mandatory reporting requirement anyway, what is to stop regulators from calling last drinks, pulling the plug on IMA for market risk and just saying 「we』ll take the other number on the table as your capital charge from here on, thanks.」

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