FRTB data quality issues persist amid shifting implementation dates
Banks are finding market and reference data challenges posed by the FRTB’s standardized model tricky, compounded by uncertainty over when the regulation will take effect.
Some banks are struggling to aggregate market and reference data of sufficient quality to fit the models of the Fundamental Review of the Trading Book ahead of the proposed 2025 deadlines.
The director of FRTB implementation at a global systemically important bank (G-Sib) tells WatersTechnology that the firm was forced to completely revamp the way it categorizes data due to the difficulties presented by meeting the risk calculations of FRTB’s standardized approach.
“We had to do a full audit of
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