SolvedINTM267740 | Foreign banks trading in the UK through permanent establishments: The approach in determining an adjustment to funding costs - STEP 2: Risk weighting the assets - the Basel II regulatory regime: Pillar 1 - trading book issues including market risk
From HM Revenue & Customs · International Manual
Pillar 1 also relates to trading book issues including market risk. There are no significant changes in Basel II and Prudential Regulation Authority (PRA) treatment of market risk weighting. Generally a Value at Risk (VaR) model will be used (INTM267719).