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.