RiskMine FRTB - Regulatory Computation and Aggregation

FRTB

A Modular Approach to a Complex Challenge

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. Banks with a trading book have to move to a more granular per-desk capital calculation using a more comprehensive sensitivity based Standardised Approach and optionally a much more demanding Internal Models Approach. RiskMine provides a modular approach to this regulation, reusing existing infrastructure within a bank wherever possible.

Risk Data Aggregation

All firm-wide risk in one place

Improve operational efficiency, reduce errors in unnecessary manual work and enjoy the power of seamless risk aggregation. RiskMine provides an entirely automated data pipeline for a firm’s risk data in any format. It incorporates automation to collect, process and aggregate in an efficient and scalable manner. Flexible configuration and bespoke in-memory cubes mean Risk Managers spend less time fighting daily data issues and more time achieving their goals.

Stress Testing

Regulatory and internal tests

Regulatory requirements as well as prudent risk management needs call for comprehensive stress testing abilities. Whether it is ad-hoc intra-day stress tests, or regulatory VaR and Expected Shortfall calculations, we have the solution that provides a flexible and bespoke framework for stress testing. With user-defined stress tests via a simple tool, sophisticated dynamic proxy-mapping and transparent drilling into the drivers of any calculations, we provide the tools necessary to turbo charge stress testing capabilities.

Market Data Quality

Data cleansing and management

For effective scenario generation and portfolio analysis you need copious amount of market data and clean reference data. We have integrated into most major data vendors including Bloomberg, Reuters, Xignite, S&P, Moody, etc. delivering comprehensive time series management capabilities. We reduce the manual effort of integration and data management as well as providing transparency and audit trails for compliance requirements.

Scalability

Future proof

Over many years we have perfected our distributed computation and reporting platform, integrating into many different pricing analytics and delivering truly scalable risk calculations. Whether you require a few compute nodes, or hundreds, or even thousands, RiskMine’s Wildfire architecture provides intelligent distribution required for true scalability. With increased computational ability comes the need for efficient data management. We have delivered multi-terabyte sized in-memory cubes for analysis of daily and historical risk data.

Find out how we help align Risk Management and Trading Desks.

Use Cases

Over the last 10 years Percentile’s technology has been used in multiple scenarios, some of which are described here.

Global Investment Bank

  • Multiple trading systems, both in-house and vendor products
  • Complex Structured OTC derivatives portfolio
  • Multiple legal entities, locations and time zones
  • Regulated entities requiring significant regulatory capital calculations
  • Multiple VaR calculations, Stress tests, Market and Credit Risk
  • Comprehensive Risk Measure (CRM), Incremental Risk Charge (IRC)
  • Foundation and Advanced Counterparty Risk
  • Basel II, Basel 2.5 and Basel III calculations

Private Banking

  • VaR and Stress Test calculations for client reporting
  • Large set of client portfolios
  • Replaced expensive “black-box” vendor product with efficient and transparent solution

Global Investment Bank

  • Multiple trading systems, both in-house and vendor products
  • Complex Structured OTC derivatives portfolio
  • Multiple legal entities, locations and time zones
  • Regulated entities requiring significant regulatory capital calculations
  • Multiple VaR calculations, Stress tests, Market and Credit Risk
  • Comprehensive Risk Measure (CRM), Incremental Risk Charge (IRC)
  • Foundation and Advanced Counterparty Risk
  • Basel II, Basel 2.5 and Basel III calculations

Equity Brokerage

  • Single trading system
  • Market risk and simple VaR requirements
  • Bespoke timeseries data management