FRTB survey

Our survey of major banks shows they are making good progress towards the implementation of the FRTB but significant challenges remain in areas such as:

  • IT architecture - banks are making major investments in their IT architecture to support FRTB and many are implementing completely new systems
  • Modelling - modellability of risk factors continues to be an issue that many banks are struggling with
  • P&L test - banks continue to be concerned that, despite their investment in modelling and IT, they may not pass the P&L test for certain trading desks and will be forced onto the Standardised Approach

> Access this report

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