Basel III FRTB:data pooling innovation to lower capital charges

作     者：Jimmy Yicheng Huang 

作者机构：McGill UniversityMontrealCanada 

出 版 物：《Financial Innovation》 (金融创新（英文）)

年 卷 期：2021年第7卷第1期

页      面：764-776页

核心收录：

学科分类：0202[经济学-应用经济学] 1202[管理学-工商管理] 1002[医学-临床医学] 100214[医学-肿瘤学] 10[医学] 

主　　题：charges benefits establishing 

摘      要：Background:Anticipated to overhaul the structure of market risk teams,IT teams,and trading desks within banks by 2023,Basel III’s Fundamental Review of the Trading Book requirements will also increase capital charges banks will incur *** case study focuses on describing what is needed with regards to the risk factor eligibility test(RFET)as well as for implementing a data pool to lower capital *** establishing a consortium of banks per region to implement a data pooling solution,participants can prove a wider breadth of modellable risk factors per asset class and use the Internal Models Approach(IMA)of valuing risk to lower capital charge requirements *** description:First,a description on the historical context surrounding the Fundamental Review of the Trading Book rules and the business requirements needed to comply with the risk factor eligibility test is *** an examination is conducted on the innovative data pooling initiative implemented by CanDeal,TickSmith Corp.,and the 6 largest Canadian banks to lower capital charge requirements under the Fundamental Review of the Trading *** and evaluation:A description is made on what types of data,expertise,and technology is needed to calculate for risk factor *** is up to each firm to decide if the benefits to using the Internal Models Approach to lower capital charges outweighs implementation and running costs of the underlying data *** a data pool for each region comes with challenges that include anti-competition law that may block the initiative,varied benefits to each competitive participant,and data security ***:It is evident that the data pool innovation provides benefits to lowering capital charges as the Canadian banks have seen an increase of modellability by several factors using the sample bond asset *** each firm must still determine internally if the benefits outweighs the technological costs they will i