Global Fragmentation Looms in FRTB Data Pooling Stand-Off

The upcoming FRTB market risk framework allows financial firms to take different approaches to non-modelable risk factors: either capitalize risk factors that lack observable pricing in-house, or use a vendor-run data pooling utility. But, as Dan DeFrancesco reports, tier-two regional banks with valuable local expertise and data are key to these pools’ success—and are reluctant to play ball.

Under the Fundamental Review of the Trading Book (FRTB) regulation, banks opting to use an own-models approach to calculating market risk capital requirements will need vast amounts of historical data on the markets they trade for their model inputs. Where risk factors are deemed non-modelable—because they trade infrequently, or cannot be traded—banks face punitive add-ons to their capital requirements. Smaller markets, where liquidity can be thin or patchy, are likely to be responsible for the

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.waterstechnology.com/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a WatersTechnology account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: