FRTB Regulations Data Management

FRTB: Fundamental Review of the Trading Book

FRTB regulation: it's all about the data

FRTB demands new calculations and desk level reporting. Get compliance and reporting right the first time. Have all the market and risk data accessible, accurate and linked at the level of granularity you need. GoldenSource FRTB regulations data management software delivers the gold standard of data to our global financial clients.

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The right data for FRTB Standardised and Internal Models Approach

Get FRTB data management right first time. This means a smoother implementation, defensible assessments of trading book modellable risk factors, calculations of expected shortfall, P&L attribution and market risk capital. Put a long-term capability immediately in place for Fundamental Review of the Trading Book approaches to:

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

 

FRTB regulations  – minimum capital requirements for market risk capital

Fundamental Review of the Trading Book is the BIS Basel Committee market risk framework that regulates the trading book vs banking book boundary. FRTB revises the internal models approach and standardised approach for market risk capital management. It introduces expected shortfall, which is a measure of risk under stress. It also incorporates market illiquidity. Valid, granular FRTB market data, from 2007 onwards, needs to be stored and accessible. Banks that have implemented their BCBS 239 risk data aggregation capability will be able to leverage similar methods for some of the FRTB trading book capital requirements.

 

Depend on GoldenSource for the best way to ensure success with the data 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, standardised default risk charge, residual risk add-ons, expected shortfall, P&L attribution and back testing.

Our core software is rock solid and is complete with everything our clients need. Modules can be added to expand capabilities and configured to their exacting needs. Our process assures implementation in weeks, not months.

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