A Fintegral survey of Value at Risk methodologies and frameworks at tier 1 banks suggests a lack of preparedness for the Fundamental Review of the Trading Book (FRTB).
Among the key findings:
- Most respondents view data quality as a major concern for them
- Institutions appear ill-prepared to meet the new requirements
- There is resistance to any significant reorganisation of trading desks and the introduction of greater granularity
Click our VaR Industry Snapshot to read more.