Markit FRTB Solution

The Markit FRTB Solution leverages Markit’s comprehensive data and risk analytics capabilities.

Statistics

  • 100+instrument valuation models
  • >10million trades in scalable aggregation

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Product Summary

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:

  • Data Service

    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

  • Risk Factor Utility

    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

  • Analytics Risk Engine

    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

  • FRTB Studio

    a lightweight, interactive, intraday aggregation capability that will provide a consistent view of trading book risk and capital measures for business decision support

Key Benefits

  • Market transaction and historical price data sets

    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.

  • A focus on Risk Factors

    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.

  • Single view supporting flexibility and granularity

    The Markit FRTB Solution is designed to deliver interactive, intraday and consistent views of trading book risk and capital measures.

Thought Leadership

  • FRTB: What makes a price “real”?

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  • FRTB accentuates the need for good, clean data

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Webinars

FRTB: Modellability in focus

As banks prepare for the implementation of FRTB, the impact of the new modellability requirements often appears to be underestimated.

In this webinar, experts from IHS Markit and Oliver Wyman discuss the challenges presented by the modellability rules and share their views on best practices for achieving compliance.

The topics covered include data pooling; risk factor bucketing; mapping transaction types to risk factors; NMRF proxy choices; desk structure and P&L attribution.