FRTB Capital Analytics Solution

The Fundamental Review of the Trading Book (FRTB) Capital Analytics Solution is a scalable, high-performance risk platform for both quantitative impact study (QIS) and production use cases. It provides comprehensive analytics for both internal models approach (IMA) and standardised approach (SA) requirements across trading desks, with consistent roll-up to the enterprise level.

Summary

FRTB includes a host of complex capital calculations for IMA, SA, profit and loss attribution (PLA) and backtesting. Aggregating and analysing the results of these calculations is a computationally intensive exercise.

IHS Markit's FRTB Capital Analytics Solution includes the functionality required not only to execute the calculations, but also to quickly understand how they will impact an organisation, both as part of a QIS exercise and in production.

The solution is comprised of two distinct products:

  • FRTB Studio, a lightweight, interactive, intraday aggregation and analytics engine
  • Markit Analytics Risk Engine, an optional multi-asset-class product valuation engine

FRTB Studio is valuation-engine-agnostic and designed to coexist with a bank's existing pricing and risk analytics infrastructure. Whether used together with the Markit Analytics Risk Engine or integrated with heterogeneous pricing engines, it provides a consistent view of trading book risk and capital measures and allows banks to explore the capital implications of business decisions interactively.

Both FRTB Studio and the Markit Analytics Risk Engine can be deployed or hosted by either the bank or IHS Markit.

Key Benefits

  • Standard and enterprise options
    FRTB Studio is available in both a standard and enterprise edition. The standard edition offers cross-asset impact analysis under SA, IMA and PLA for unlimited portfolio sizes and users, as well as integration into the FRTB Modellability and Scenario Services. The enterprise edition comes with all of the standard edition features plus orchestration, REST APIs, incremental analysis (including pre-deal checks), follow-the-sun reporting, as well as resiliency and failover
  • Flexible, modular design
    Banks can mix and match the FRTB Studio and Markit Analytics Risk Engine with their existing infrastructure. They can implement the individual products at different stages in their FRTB change programmes. FRTB Studio’s engine-neutral design enables banks to reuse existing valuation engines (both home-grown and vendor-supplied) to produce the required inputs for consistent aggregation and capital calculations without having to build the capability in-house
  • High-performance capabilities
    Like the rest of IHS Markit's FRTB Solution Suite, FRTB Studio is built on Apache Spark - a powerful, open-source processing engine. As a result, FRTB Studio can process large portfolios in near-real-time, even when running on commoditised hardware
  • Integration with front and middle office
    The solution is designed to bridge the front and middle office by enabling the integration of front-office pricing engines and through a flexible, open framework for addressing the PLA requirements of FRTB

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