FRTB Solution

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Overview

An advanced, scalable platform designed to help front-office and middle-office functions satisfy the complex methodology and technology demands of FRTB

The Fundamental Review of the Trading Book (FRTB) heralds a new era in bank risk management, making it one of the most critical items on a bank’s to-do list for the immediate future and beyond. Designed to help banks meet the new capital requirements for market risk Quantifi can support all the main requirements of FRTB either as a fully integrated front-to-accounting solution or component based solution that can co-exist with other 3rd party and internal systems.

Key Features

Market Leading Models - Advanced, accurate, unified front-to-back risk and analytics models for market risk FRTB and CVA FRTB

High Performance - A modern technology stack, leveraging multi-core optimisation, that delivers scalable and high performance risk and analytics

Support for SA & IMA - Full support for both standardised approach (SA) and internal model approach (IMA) frameworks for FRTB

Advanced Data Management - Strong data management for NMRF (Non-Modellable Risk Factors) requirements, including an ETL framework for managing data feeds

Measure Market & Credit Risk - Measures include market risk and CVA FRTB, RWA’s, current CVA VaR as well as methodologies for EAD calculations

Run Real-time Reports - A pre-configured reporting component with required sensitivities and stress tests at the firm, desk and position level

Conduct Scenario & What-if Analysis - Scenario & what-if analysis to optimise capital charges across standardised (SA) and internal model (IM) approaches

Configurable Workflow - Flexible limit management framework, including a workflow engine to set-up customised process flows and control mechanisms

Capital Attribution Tests - Carry out capital and P&L attribution test to desks, trades and other dimensions

Flexible Architecture - Available as a integrated front-to-accounting or as a component solution that integrates with existing 3rd party and internal systems

Key Benefits

  • Seamless integrates with existing 3rd party and internal systems
  • Proven market leading models incorporating industry best-practice and trusted by some of the most sophisticated financial institutions
  • Support for Basel ll and Basel lll capital calculations
  • Full transparency and control for all model inputs, methodologies, data, and results
  • Ground breaking performance using multi-core technology and numerical optimisation
  • Strong data management for Non-Modellable Risk Factors (NMRF)
  • Intuitive to use
  • Execptional training and support

Product/Service details

SOLUTION TYPE
User Suitability (Capital Markets & Investment Mgmt)
Trading firms
Geographic Availability
Africa, Asia-Pacific, Europe, Middle East, North America, South America
Asset Class Coverage
Bonds, Commodities & Energy, Equities, Foreign Exchange (FX), Funds, Futures, Options and other Derivatives, Money Markets, Structured Products