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Finalyse - Composing solutions for Finance

FRTB

The revised SA and IMA will be soon required by FRTB. Are you convinced of your approach ?

The Fundamental Review of the Trading Book (FRTB) brings about profound requirements to the Banking industry to be applied as from January 2019. From a more risk sensitive Standardised Approach (SA) to an Internal Models Approach (IMA) based on Expected Shortfall risk rather than VaR, FRTB presents complex and costly challenges. Our service looks at both these revised approaches and provides ease of mind to those in charge of deciding and/or implementing them.

Finalyse has a proven track record of over 20+ years in Market risk related implementation and valuation challenges. From a model’s inception to its validation, Finalyse delivers all along the process chain while providing independent valuation tasks.

What do we provide?

  • Gap analysis
  • Clear validation process
  • Regulatory check
  • Industry’s best practices
  • Support with model calibration, parameter estimation and testing

What benefits should you expect?

  • Identification of gaps versus regulatory/internal requirements
  • Definition and guidance about the new scope of the Trading Book
  • Cost-benefit analysis between the SA and IMA
  • Monitoring their implementation regarding the regulatory agenda
  • Application development for capital charge calculation
  • Outsource market risk calculations
  • Fast reaction time to any request from clients

Choosing between SA and IMA can result in time-consuming meetings and significant research efforts, especially when a regulatory reform changes the paradigm. Having a trusted partner along the way does not only provide you with the ease of mind of being FRTB compliant but also with the required confidence to choose the suitable approach when considering all the costs and trade-offs involved.

 

    If you are interested in these services, do not hesitate to contact Silvio Santarossa for more information.

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