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How to Source and Manage Data for FRTB – The Challenges and Opportunities

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Sourcing and managing data for Fundamental Review of the Trading Book (FRTB) compliance is no mean feat, but there are options and choices to be made as firms within the scope of the regulation build out compliance programmes ahead of its January 2022 deadline.

A panel session at A-Team Group’s recent FRTB briefing in London discussed these options and choices, focusing on the requirements of the Internal Model Approach (IMA) and the Standardised Approach (SA) and discussing their differing data demands, what each model means for capital requirements, and the impact it could make on products and trading desks. Diving into the detail of the models, particularly the IMA, the panel considered how to source all the internal and external data required for compliance, such as historical time series data for price observation associated with non-modellable risk factors (NMRFs), and high quality reference data for instrument classifications and market data to enrich trade data sets.

While FRTB compliance was described by one panellist as a ‘massive data management exercise’, the conversation also turned to the potential benefits of compliance, with another noting ‘If you are a large bank, the IMA is a huge data management burden, but the ability to normalise and link data together will extend way beyond FRTB compliance’.

Listen to our podcast on sourcing and managing data for FRTB to hear the complete conversation.

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