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Traded Market Risk

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
Learn more about Traded Market Risk
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Traded Market Risk Solution Future proof your market risk capabilities
Case study: Read how IMA banks accelerated their FRTB deliverables with Traded Market Risk from IHS Markit.

Benefits of our Traded Market Risk solution

FRTB

Fundamental Review of the Trading Book (FRTB)

The Fundamental Review of the Trading Book (FRTB) will change market risk management in January 2023. Does your in-house team have the expertise to implement FRTB regulations?

FRTB requires banks to revisit their market risk exposure. Our Traded Market Risk FRTB solutions allow you to manage exposure and resulting market risk capital requirements more effectively for both Internal Model Approach (IMA) and Standard Approach (SA).

Learn more about our Internal Model Approach (IMA) and Standard Approach (SA) solutions.

Standardized Approach

FRTB – Standardized Approach


Are you ready for the FRTB Standardized Approach?

Can your current systems handle the prescribed sensitivity and curvature calculations?

Does your in-house team have the expertise to interpret the FRTB regulations?

Fast track your regulatory compliance with our FRTB-SA service. Provide your trading book portfolio and we’ll do the rest. Our service provides you with fast performance as calculations are performed on our multi-asset risk engine fueled by our best-in-class market data. You can easily view the results that are available in a secure web UI.

Our solution helps reduce the total cost of ownership of your FRTB infrastructure and shorten time to delivery while maintaining complete control and auditability. The software is available on the cloud, deployed or as-a-service to suit your specific needs. You will also receive support from our team of financial experts.

IMA Solution

FRTB – IMA solution


The Fundamental Review of the Trading Book (FRTB) requires banks to revisit their market risk exposure including new eligibility tests for risk factors used in the Internal Model Approach (IMA) capital requirements.

Use our multi-asset risk engine fueled by our best-in-class data to run calculations at scale and view the results in a secure web UI. This includes new risk factor liquidity test for eligibility under more demanding Internal Model Approach (IMA) capital requirements.

Our Traded Market Risk FRTB IMA Solution allows you to reduce the total cost of ownership of your FRTB infrastructure and shorten time to delivery. You can also gain visibility on the capital impact of new trades, model assumptions and changing market conditions.

Effectively manage exposure and resulting market risk capital requirements with our award-winning solution. You will have support from our team of financial experts.

Awards Received

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Connect with our product expert

Jean Zottner

Throughout his career, Jean has worked on the multiple aspects of product management, quantitative risk and system development. With over 13 years of experience in fintech and banking, he is an expert in quantitative risk and product design. He is passionate about using technology to solve business challenges and to streamline processes.Jean holds an MSc in Computer Science obtained with distinction from Oxford University, as well as an Engineering degree from ENSIIE, a French Grande Ecole.

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Karl Pople

Over a 25-year career, Karl has developed and delivered a variety of front-office and risk products. Since 2005 he has worked in the City of London holding senior positions at Rabobank International and Mitsubishi UFJ Financial Group (MUFG). Karl is the Product Owner of S&P Global's XVA Hosted Risk Service which he has overseen from inception through to its market launch in 2020.He holds a BSc Hons degree in Physics from Lancaster University and a MSc in Medical Physics from the University of Aberdeen.

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