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:
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.
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.
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...
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...
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...
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...
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...
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...
