IHS Markit provides a suite of solutions for the Fundamental Review of the Trading Book (FRTB), which enables banks to comply with the new Basel market risk requirements by supplementing their existing infrastructure and processes. The solutions are designed to shorten FRTB implementation programmes, reduce execution risk and cost, and help firms manage the capital impact of the regulation. They can be implemented on a standalone basis to address specific aspects of the requirements or in combination with one another to provide end-to-end support for FRTB.
In addition, the FRTB Solution Suite 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). The suite is comprised of three solutions, which can be implemented independently or as an integrated workflow, which begins upstream with the management of risk factor modellability and provides support through to the 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