EBA sets out alternative standardised approach for market, counterparty risk

The European Banking Authority (EBA) has published the final draft Regulatory Technical Standards (RTS) on the alternative standardised approach for market risk as part of its Fundamental Review of the Trading Book (FRTB) roadmap. The final draft RTS provides technical specifications for the implementation on gross jump-to-default (JTD) amounts and on residual risk add-on (RRAO) - two key elements of the alternative standardised approach for market risk. The new rules will help address issues