Non-modellable risk factors (NMRFs)
FRTB data pooling crawls into action
Dealers voice concerns on data pooling as industry initiative to model risk factors faces significant challenges
Taking the FRTB plunge
Banks entering chilly FRTB waters for first time facing fresh challenges
Banks plan risk factor exclusion to avoid FRTB surcharge
Firms hope to leave out non-modellable risk factors deemed "immaterial"
Manipulation threat to FRTB data pooling
Concerns over the governance of submitted data and costs could spawn rival initiatives
Bloomberg works with banks on FRTB data pool
Pooling market risk factor data could cut capital requirements