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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

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