The new Minimum Capital Requirements for Market Risk (d352) that resulted from the Fundamental Review of the Trading Book (FRTB - BCBS 265) at the start of 2016 have set a high bar for banks’ risk management processes and the infrastructure that supports them. Even the simpler Standardised Approach places major demands on firms in areas such as data quality, firm-wide aggregation and sensitivity calculations. The challenges around the Internal Models Approach have already been widely documented:
Percentile gives businesses an edge through regulatory compliance. Going beyond the tick box of compliance by providing the tools for Risk Management to be more aligned with the business and help make better risk/reward decisions.
Percentile's RiskMine software has evolved over more than a decade to keep pace with complex, changing demands from regulators and day-to-day risk management. With RiskMine FRTB, this flexible, scalable approach is applied to the challenges of FRTB – not just meeting today’s requirements, but providing a platform to meet future requirements.
A calculation engine to produce the capital charge and show intermediate calculations, allocation of buckets and correlations.
Drill into drivers of capital charge
Quickly assess the capital impact and identify the drivers of the capital charge right down to individual portfolios or positions. Easily identify bad reference data and see the effect of changing positions and metadata in real time.
Clearly defined data model and file formats
The input format clearly defines the data needed to calculate the Standardised capital charge. It also provides a clear integration point when consolidating data from disparate systems.
The results and intermediate calculations are directly accessible for analysis via Excel, and for reporting via interactive dashboards and scheduled reports.
RiskMine Internal Models builds naturally on RiskMine’s proven market data management, scenario generation and distributed pricing – the move to Global Expected Shortfall, with its varying historical date ranges, liquidity horizons and risk class combinations, is simply a matter of configuration.
RiskMine manages time series to drive scenario generation for historical simulations and stress testing, providing:
RiskMine wraps existing Front Office models for risk calculations, avoiding costly and time-consuming model validation and greatly simplifying the stringent FRTB P&L attribution tests. After a simple one-off integration with the RiskMine scenario pricing API, this produces a highly scalable calc farm that can be used for:
Development of new risk models stops being a barrier to trading new products – once the analytics are in place in the Front Office, they are available for risk.
The Global Expected Shortfall results are loaded into RiskMine’s Cube, which calculates the top level capital charge on the fly and allows you to drill down to individual positions and P&L strips and see the effect of removing books and positions.
This is then available through the native Excel interface, interactive dashboards and scheduled reports.