This paper describes the ‘fundamental’ nature of changes associated with the revised Basel III market risk capital framework and the broad set of data management challenges that firms will face as a result of the new framework.
In 2012 the Basel Committee on Banking Supervision (BCBS) embarked on a consultation process known as the Fundamental Review of the Trading Book (FRTB). The broad objective was simple: to incorporate lessons from the financial crisis into a risk capital framework that would prevent, or at least mitigate the risk of its recurrence.
Five years on from that first consultation paper, the revised market risk capital framework has been agreed, with an implementation set to commence at the end of the decade. Although the implementation schedule appears to offer plenty of lead time for any required changes, a lot of preparation and forethought will be required.