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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

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

What Finalyse experts say

19 Jul, 2021
VaR: An Introductory Guide in the context of FRTB

This article discusses the “Value at Risk (VaR)” metric and its use in the face of recent regulatory developments. The VaR is one of the industry’s most widely used metrics for risk management, though specific implementations vary significantly. In the last years, particularly following the introduction of Basel’s fundamental review of the trading book, the VaR became to be superseded by Expected Shortfall (ES), which is meant to better represent the tail risk. In both Var and ES, the methodology and the data are very important. This article also offers the steps that Finalyse takes to ensure that your VaR/ES models are optimal.

03 Jan, 2022
CRR 3 and Banking Package 2021 – The Winter’s Tale

On the 27th of October 2021 the European Commission has released its proposal of a new banking package, that (among other things) implements the first pillar of Basel IV into the banking regulation. This package introduces a big change to the European Banking industry. The combination of changes to the credit risk (which is the main risk driver in the EU), and output floor will be particularly strongly felt across the EU.The new requirements are computationally difficult and institutionally challenging. They require variety of tools and data all of which will be costly. The current release is a Commission proposal only and still needs to go through the council and the parliament before its release in the official Journal of the EU. However, it is not expected to undergo very many additional changes and its adoption should be smooth.