Canada’s banks go it alone with FRTB data utility

Local lenders reject advances of major data utilities to build own solution

Going solo: six Canadian banks developing standalone 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, 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 punitive add-ons to market risk capital requirements if the risk factors used for their internal

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Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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