Canada’s banks go it alone with FRTB data utility
Local lenders reject advances of major data utilities to build own solution
Canada’s largest banks are creating their own data pool in response to new market risk rules, rebuffing the overtures of third-party vendors to develop and run the utility, Risk.net has learned.
The banks intend to compile their trade data in a bespoke utility to help them incorporate hard-to-model risk factors as pricing inputs. Under the Fundamental Review of the Trading Book, institutions face punitive add-ons to market risk capital requirements if the risk factors used for their internal
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