FRTB includes a host of complex capital calculations for IMA, SA, profit and loss attribution (PLA) and backtesting. Aggregating and analysing the results of these calculations is a computationally intensive exercise.
IHS Markit’s FRTB Capital Analytics Solution includes the functionality required not only to execute the calculations, but also to quickly understand how they will impact an organisation, both as part of a QIS exercise and in production.
The solution is comprised of two distinct products:
- Markit FRTB Studio, a lightweight, interactive, intraday aggregation and analytics engine
- Markit Analytics Risk Engine, an optional multi-asset-class product valuation engine
FRTB Studio is valuation-engine-agnostic and designed to coexist with a bank’s existing pricing and risk analytics infrastructure. Whether used together with the Markit Analytics Risk Engine or integrated with heterogeneous pricing engines, it provides a consistent view of trading book risk and capital measures and allows banks to explore the capital implications of business decisions interactively.
Both FRTB Studio and the Markit Analytics Risk Engine can be deployed or hosted by either the bank or IHS Markit.