Curbs on the data used for modelling risk factors under Basel’s revised market risk rules will force more trading desks on to the standardised approach, dealers warn.
Revisions to the Fundamental Review of the Trading Book threaten to restrict the use of proxy data, where banks back-fill their real prices with information gleaned from other sources. Few desks are able to generate sufficient data to avoid relying on proxy sources, bankers say.
“[Banks] have their native territory where they are
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