FRTB data quality issues remain due to rolling implementation dates

Some banks are having difficulty aggregating market and reference data of sufficient quality to match them to the Basic Trading Book Review models ahead of the proposed 2025 dates.

Says the director of FRTB implementation at a global systemically important bank (G-Sib). Water Technology that the company was forced to completely change the way it categorizes data due to the difficulties posed by meeting risk calculations according to the standard FRTB approach.

“We had to do a full inspection