The Fundamental Review of the Trading Book (FRTB) requires dramatic change to the banking industry’s existing market risk management practices. One of the underlying challenges is the collection and management of market data and other information, especially for banks that want to use internal models.
In a webinar hosted and moderated by Risk.net and sponsored by Asset Control, a panel of market risk practitioners and data specialists examines how much work the industry has to do in the coming months, and offers advice on how to collate, proof and secure the integrity of risk factor data sets.
After a struggle of some years, the FRTB was finalised in January. Now, the implementation race begins.
The clue is in the name – it is a fundamental overhaul of the existing market risk capital rules, which were always intended to be a ‘quick fix’ for problems that emerged during the financial crisis...