The Markit FRTB Solution leverages Markit’s comprehensive data and risk analytics capabilities.
The Markit FRTB Solution is based on a modular platform allowing firms to supplement existing infrastructure and processes as needed to support the new capital calculations. The solution delivers a full suite of required risk calculations, margin calculations, valuation adjustments and stress testing. The calculation and simulation framework manages the portfolio simulation workflow, including data aggregation and reporting.
The focus on risk factors allows direct and transparent manipulation of the factors to understand their direct impact on exposure and capital at the desk and portfolio level. The platform takes advantage of grid technologies, enabling it to grow with your business.
There are four components to the solution:
new and enhanced transaction and historical pricing data sets to supplement bank data for meeting modellability requirements (NMRF) and for historical pricing of risk factors
a new software-as-a-service for managing and deriving risk factors and scenarios. It offers a new level of interactivity for validation and management of risk factors and their proxies
an established risk calculation engine enhanced to enable compliance with the new market risk analytics and credit valuation adjustment in support of the FRTB requirements
a lightweight, interactive, intraday aggregation capability that will provide a consistent view of trading book risk and capital measures for business decision support
Focused on delivery of a cross asset class transactional data warehouse specifically designed to meet FRTB requirements, Markit is uniquely positioned to provide the broadest access to transactional and historical pricing data. Markit’s data service eliminates the need for banks to procure, integrate and build their own data sets. Markit is also committed to working with the industry to better define ’real trades’ as required in the regulations and is exploring new methods to pool trade data for industry use.
For the last 20 years, risk analytics have buried the definition of risk factors in admin functionality, our FRTB Solution is the first to recognise the importance of transparency and access to the risk factors in market risk management solutions. The platform is centred around definition and management of risk factors, delivering exceptional transparency and ease of use for FRTB compliance.
The Markit FRTB Solution is designed to deliver interactive, intraday and consistent views of trading book risk and capital measures.