FRTB data-quality issues persist amid shifting start dates
Even the standardised approach poses tricky market and reference data challenges
Some banks are struggling to aggregate market and reference data of sufficient quality to comply with the Fundamental Review of the Trading Book ahead of the proposed 2025 deadlines.
One global systemically important bank (G-Sib) was forced to completely revamp the way it categorised data due to the difficulties presented by meeting the risk calculations of FRTB’s standardised approach (SA).
“We had to do a full audit of our data just to identify the source of the data,” says the G-Sib’s director
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