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

Get FRTB right the first time

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

Get FRTB and non-modelable risk factor (NMRF) data right first time, ensuring a smoother implementation, all of your market risk data in one place, defensible assessments of modelability, calculations of expected shortfall, capital buffers, and a long-term capability immediately in place for FRTB specific approaches to:

  • NMRF assessment
  • construction of market risk factor time series and sensitivities
  • liquidity horizon analysis
  • market 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 your data model should support that. Use GoldenSource for confidence with the sensitivities based method, standardized default market risk charge, residual risk add-ons, NMRFs, expected shortfall, P&L attribution, and back testing.

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