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Related Articles

Expanded FRTB Reporting Requirements
CRR 3 and Banking Package 2021 – The Winter’s Tale

How Finalyse can help

OTC Derivatives and Structured Products
Margin calculation
Value at Risk (VaR) calculation
CRR3 & Basel IV
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FRTB

Trusted partner for your FRTB compliance
Designed to help those in charge of the selection and implementation of an approach in line with FRTB

Choosing between an alternative standardised approach built on the sensitivities-based method (SBM) and an alternative internal model approach (IMA) based on Expected Shortfall rather than VaR; and implementing the selected approach can result in time-consuming research efforts, especially when a regulatory reform changes the paradigm. Our service looks at both revised approaches and provides an appropriate set of recommendations and support to those in charge of implementing them. We also propose a stand-alone FRTB solution, that you can use as a calculation or validation tool in the context of the SBM approach.

The alternative SA and the alternative IMA will be required under FRTB in 2023. Reporting starts in September 2021.

How does Finalyse address your challenges?

Support with selection of the suitable approach, considering all the costs and trade-offs involved

Steering the implementation effort in line with the regulatory agenda

Identification of gaps versus latest regulatory requirement

Portfolios review to determine whether assets categorisation between the banking and trading books is correct

Valuation models for delta, vega and curvature sensitivities

Out-of-the-shelf tool for quick and efficient implementation, including regulatory reporting

Have your questions answered
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Key Features

  1. Cost-benefit analysis between the SA and IMA
  2. Sensitivities-based Method stand-alone calculator
  3. Proper understanding and fulfillment of the specific reporting requirements for market risk
  4. Review of the Trading/Banking Book boundaries
  5. Gap and data analysis supports input data, processing, model development, and testing
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Our subject matter experts

François-Xavier Duqué
Principal Consultant - Expert in Solvency II / FRTB / IRRBB / SAA / Market Risk For Insurers / Internal Modes for Approval and Validation

François-Xavier is a Principal Consultant with advanced expertise in Financial Markets, ALM and Risk Management, covering both banks and insurance companies. On the banking side, François-Xavier is a practice leader on Valuation, IRRBB, FRTB, VaR, Initial Margin and Counterparty Risk, well acquainted with the regulatory requirements and the market practices surrounding market risks. On the insurance side, François-Xavier has extended experience in the regulatory treatment of financial instruments, ORSA, and hedging balance sheets against interest rate, credit spread and inflation risks.

Stéphane Kengne Toguem
Senior Consultant - Expert in IFRS 17 / FRTB / SAA / Market Risk

Stéphane is a senior consultant with proven skills in credit and market risk (including FRTB) and extensive knowledge of financial markets. He is a subject-matter expert in IFRS 17, Basel II, Basel III and Solvency II,. His field of competence also covers Strategic Asset Allocation (SAA) for insurers. Stéphane has been involved in the implementation of IFRS 17 for many insurance and reinsurance companies in Europe and North America. He is an active member of the Finalyse IFRS 17 Centre of Excellence, where he has been leading the development of the Finalyse IFRS 17 calculation and reporting tool.