Fundamental Review of the Trading Book (FRTB) & Value at Risk (VaR) market risk management solution.
Future proof your market risk capabilities with our multi award winning Traded Market Risk management solution.
Extend full revaluation of value at risk & stress testing into FRTB compliance with full support for the standard approach (SA) & internal model approach (IMA).
As the deadline for compliance with the Fundamental Review of the Trading Book (FRTB) approaches, firms are still struggling to deal with the complexity of the guidelines. Traded Market Risk from IHS Markit supports compliance with the Basel market risk requirements by providing a hosted service that combines our market-leading data with cutting-edge analytics. Supported by our team of trusted subject matter experts, we can help you reduce the impact, cost and complexity of FRTB projects.
What can you expect from our solution?
- Comprehensive VaR & ES calculation across all asset classes and trade types
- Supports Monte Carlo and Historical VaR with full revaluation of the portfolio
- Sensitivity analysis and Stress Testing configured through a highly intuitive interface
- Supports regulatory and market risk requirements
- Available on the cloud, deployed or as-a-service