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.
IHS Markit's 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 consistent roll-up to the enterprise level
Flexible, modular design – Use modules to separate functional, data, scalability and integration concerns and choose to update your risk infrastructure in a phased, controlled manner. The light-touch deployment approach allows you to evaluate the solutions without lock-in and with a low barrier to entry
Unique datasets – Access a unique source of cross-asset transaction and historical pricing data, including transaction data from the industry-leading MarkitSERV trade processing platform, which is combined with trade data contributed by leading banks
Scalable, versatile stack – Boost efficiencies with a single, coherent and scalable platform. The FRTB Solution Suite is built on Apache Spark, a powerful, open-source analytical framework based on speed, ease of use and sophisticated analytics. The stack seamlessly combines risk analytics, SA (Standardized Approach), IMA (Internal Models Approach) and PLA (Profit and Loss Attribution) with unrivaled transparency and control
Highly skilled team, trusted partner – Work with our team, which has a wealth of capital modeling and engineering expertise. The product team has many years' experience of IMA (market risk), Internal Model Method (IMM, credit risk) and xVA at banks and vendors. The technology team includes experts in Spark, Scala, Hadoop and risk analytics, including real-world experience of big data systems.
Solving the FRTB Puzzle
FRTB presents a number of challenges, including the move to desk-level model approval and the introduction of new modellability rules and P&L requirements. Dr. Andrew Aziz, Global Head of Financial Risk Analytics, discusses these challenges with a panel of experts.
Download this whitepaper to see preliminary results from the Markit Modellability Model (M3), a rigorous methodology developed by IHS Markit and Oliver Wyman to assess risk factor modellability under FRTB.
Celent FRTB Report
In this FRTB research by Celent, Cubillas Ding evaluates vendors’ solutions for helping banks meet the new market risk standards. The report is intended to support firms when designing, evaluating or making decisions about FRTB solutions. It looks at the impact of FRTB on banks’ existing IT ecosystems and offers a detailed analysis of IHS Markit’s FRTB Solution Suite.
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