Shortens FRTB implementation, reduces execution risk and cost, and help firms manage market risk capital.
The FRTB solution suite enables banks to comply with the new Basel market risk requirements by supplementing their existing infrastructure and processes. It provides a comprehensive functional workflow that includes the complete set of analytics required to address both the standardised approach (SA) and internal models approach (IMA). Each solution can be implemented independently or as an integrated workflow beginning upstream, with the management of risk factor modellability and providing support through to downstream capital analytics calculations.
The solutions are:
- The FRTB Modellability Service - a combination of data and analytics for assessing and managing risk factor modellability in both quantitative impact study (QIS) and production use cases. The service includes enhanced transaction datasets and a dynamic, user-friendly bucketing API, which produces cross-asset modellability reports
- The FRTB Scenario Service - flexible, cross-asset historical pricing derivation, from time series gap filling to proxying and configurable scenario generation
- The FRTB Capital Analytics Solution - a scalable, high-performance risk platform for both QIS and production use cases, which provides comprehensive analytics for both IMA and SA requirements across trading desks, with a consistent roll-up to the enterprise level