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Fundamental Review of the Trading Book (FRTB) data management challenges for Standardized and Internal Model Approaches

Get FRTB right first time with GoldenSource

Ensure your Standardized and Internal Model FRTB data and calculations are available, accurate and understood from the outset.

Get FRTB data management right first time, meaning a smoother implementation, defensible assessments of modelability, calculations of expected shortfall, capital buffers, and a long-term capability immediately in place for FRTB pecific approaches to:

  • construction of risk factor time series and sensitivitiesc
  • liquidity horizon analysis
  • risk factor analysis
  • stressed time series analysis and data proxy
  • P&L attribution and back-testing

Depend on GoldenSource for the best way to ensure success with the data and calculation challenges linked to Fundamental Review of the Trading Book.

FRTB makes every point on every curve important and our data model supports that. Use GoldenSource for confidence with the sensitivities based method, standardized default risk charge, residual risk add-ons, expected shortfall, P&L attribution and back testing.

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