Canada’s banks go it alone with FRTB data utility

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