Percentile at Fundamental Review of the Trading Book 2017 Summit

Same Old chestnuts? (…roasting on an open fire)

Percentile sponsored and spoke at CFP’s 2nd annual FRTB Summit in London last month. It was good to see a lot of familiar faces, and still many of the same old chestnuts in focus: non-modellable risk factors and P&L attribution were still prominent, while other talks and audience questions reflected a shift in focus from planning to implementation.

We heard from a number of banks who are using FRTB as a catalyst to renovate their risk infrastructure. A common theme is producing a more unified and flexible system, which we see as vital to meet challenges of data governance, computational complexity and regulatory uncertainty that are part and parcel of FRTB. Firms also see benefits in using the standardised approach (SA) as a stepping stone to internal models (IMA), which was borne out somewhat by our poll, with the biggest proportion opting for SA followed by IMA.

Poll – SA vs IMA:

Firms who have started working on SA are consistently saying that it is not as straightforward to implement as they initially thought. Some firms are starting to think beyond the implementation and how they might use FRTB to derive insights for the business.

Poll – Useful SA Analytics:

Advanced firms have taken a modular approach to work seamlessly with existing systems and provide value-added benefits to get risk management in a position to think about how to manage FRTB capital as soon as possible.

RiskMine offers solutions for market data management (including modellability), scenario generation, risk aggregation and SA analytics, as well as a federated approach to align Risk and Front Office. Get in touch to find out more.

We will continue to host FRTB roundtables in 2018 on IMA and SA, the next two being on:

  •  Risk Factor Modellability (IMA) and
  • Standardised Approach Analytics and Hedging.

If you’re interested in finding out more, send us an email at info@percentile.co.uk.

 

You can learn more about RiskMine FRTB here.