FRTB Regulations Data Management

FRTB: Fundamental Review of the Trading Book

FRTB: it's all about the data

With demanding new calculations and desk level reporting, you need to get compliance and reporting right the first time. GoldenSource for FRTB makes all of your market and risk data accessible, accurate, and linked at the level of granularity you need.

Download Whitepaper

The right data for FRTB Standardized and Internal Models Approach

Fundamental Review of the Trading Book (FRTB) is a banking regulation that sets minimum capital requirements for market risk. FRTB prevents capital arbitrage between the trading and banking books, introduces expected shortfall (ES) as a risk measure and imposes a risk factor eligibility test (RFET) as part of the internal models approach (IMA).

Getting FRTB right the first time 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

 

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. It revises the internal models approach and standardized approach for market risk capital management and introduces expected shortfall, which is a measure of risk under stress and incorporates market illiquidity. Valid, granular 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 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.

Related Modules

Connections & Adaptors

Connections & Adaptors is a robust, preconfigured adaptor that loads vendor data into GoldenSource's EDM GoldenSource Security Master or Client Onboarding applications. Our Connections are ready to receive and process your vendor feeds immediately upon installation, no mapping required. Read more...

Customer Master

GoldenSource Customer Master module acts as a global entity master linking customers and counterparties, along with employees, branches, contacts, addresses, accounts and products. Read more...

Market Data

Manage market data directly, delivering confidence through clean and consistent data to optimize internal systems, automate validations, manage risk, improve price discovery and satisfy investor and regulatory obligations. Read more...

Pricing

A unique pricing preference and vendor hierarchy framework that enables capital market organizations to meet their regulatory, management, and audit requirements for independent price verification. Read more...

Risk Master

Advanced, flexible tools for the extraction and verification of market data. The Risk Master Module provides full audit functionality through a fully configurable workflow process. Read more...

Security Master

Standardize content from multiple external sources with maintained, off-the-shelf connections to leading financial data vendors such as Bloomberg, Thomson Reuters, Interactive Data and many more. Read more...