Numerix FRTB

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Overview

Numerix FRTB is a high-performance FRTB solution that helps banks transform their Front and Middle Offices to comply with FRTB.

In the early stages of their FRTB planning, banks can utilize Numerix FRTB to perform impact assessments and regulatory scenario analysis, to help them analyze the projected capital impact of FRTB and make well-informed strategic decisions. By evaluating different “what if” scenarios in Numerix FRTB, they can determine optimal trading desk configurations and model choices (Internal Models Approach vs. Standardized Approach) to achieve maximum capital efficiency.

For ongoing regulatory compliance, Numerix FRTB runs daily regulatory reports for all business units from desk level to enterprise level, and calculations can be generated in minutes rather than hours due to Numerix FRTB’s high performance risk engine. Both the Internal Model Approach (IMA) and the Standardized Approach (SA) are supported, so banks can use whichever model is most appropriate for each trading desk.

Key Features

Extensive support for both the Internal Models Approach and the Standardized Approach

Comprehensive reporting at summary and detail levels

High performance risk engine for fast calculations

Rapid deployment as a cloud-based solution

“What if” scenarios to optimize trading desk configurations Cross asset product coverage, to cover all products traded Intuitive workflow for efficient daily use

Dynamic drill down for full transparency (NOT a black box)

Flexible market data options, including off-the-shelf connectivity to several data vendors

Automation of daily processes and reporting

Transform FRTB from a headache to an opportunity

Key Benefits

Fastest calculations in the industry

Numerix FRTB’s high performance risk engine performs daily FRTB calculations in just minutes instead of hours, enabling calculations to be re-run multiple times if necessary to find and fix issues.

Rapid deployment

Available as Software as a Service (SaaS) on the Microsoft Azure cloud, so implementations are much faster and easier than in-house builds or other vendor products

Proven and flexible sell-side pricing models

Our industry leading derivative pricing models can match any Front Office models for P&L attribution purposes, to help trading desks achieve IMA approval