FRTB data standards seen as threat to emerging markets

Need for 'real' prices will limit use of models, increasing capital burden

asia-globe- roll-out
Asian currency pairs might struggle to meet data demands

Tough new data standards for the modelling of market risk could drive up capital requirements on emerging market instruments, and hamper their development, banks and risk experts are warning.

The Fundamental review of the trading book (FRTB) requires banks to base their models on a steady stream of "real" prices – transactional data – and sets the bar too high for many emerging markets, critics claim. The standardised approach to capital would have to be used in these cases, hiking capital

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: