FRTB: industry pushes to use own quotes in risk factor modelling
Isda working group proposes use of own quotes to minimise non-modellable risk factors
Dealers are lobbying for a broader definition of what should count as an acceptable quote for the purposes of modelling risk factors used as inputs to calculate market risk capital requirements under the Fundamental Review of the Trading Book – a move they hope could alleviate hefty capital add-ons when trading less liquid products under the regime.
A draft working paper produced by a sub-group of the International Swaps and Derivatives Association’s FRTB data working group, seen by Risk.net
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