The new market risk capital charge, FRTB, is forcing banks to review every aspect of the current market risk calculation ahead of the implementation deadline.
Compliance for FRTB and beyond
To help banks ensure their operations and infrastructure are ready in time, Fusion Risk has been designed to deliver a scalable, modular package that is available off the shelf. The solution provides the full front-to-risk alignment required by FRTB, including the necessary connectivity to third-party or other in-house solutions, and monitoring and reporting capabilities.
The solution also extends beyond FRTB. It is designed to incorporate a broad range of activities, such as the valuation of collateral, introducing global limits or overall better capital planning, to help optimize treasury operations.
Fusion Risk FRTB Solution: Benefits
- Full data control and transparency, with a standardized approach (SA) solution that provides insights by individual desk, and on an aggregated level
- Pricing consistency between risk and front office, with a fast, shared and coherent pricing engine
- Regulatory coefficients are parameterized to protect from future regulatory changes
- Detailed dashboarding facilitates risk charges analysis and discussions with auditors and regulators
- Open architecture supports P&L attribution and back-testing workflows for implementation of the internal model approach (IMA)
Fusion Risk FRTB Solution: Functionality
- Off-the-shelf solution that is fast to implement
- Open and fast aggregation engine based on REST APIs
- Scalable, modular package that can grow with changing market and regulatory demands
What are the aims of FRTB?
FRTB aims to deliver more consistency in capital treatment and less variation between institutions, markets, and products. The regulation mandates a clear segregation of all instruments belonging to the trading and banking books and has the potential to substantially increase a bank’s capital requirements.