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