BNP Paribas exec fears data drought from market’s IMA cuts
Vendors may not step up with critical inputs to support internal models under FRTB
An executive at one of the three European Union banks planning to use internal models under new trading book capital rules warns crucial third-party data for running the calculations may not be available due to a lack of demand.
“We need vendors providing data for us to demonstrate that these risk factors are eligible and tradable, and no vendor will come for only three banks,” said Jacques Vigner, chief strategic oversight officer for global markets at BNP Paribas.
Vigner was speaking on a panel
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