FRTB Solution
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