Our FRTB module is designed to help financial institutions to implement FRTB smoothly and seamlessly. We use state of the art technology and design to provide intuitive navigation, user experience and integration with existing risk management applications. Based on our extensive experience in the industry, we focus on the ‘pain points’, i.e. data quality assurance, flexible user interfaces and, most importantly, providing clients with a rich array of decision-making tools – the most challenging task banks will have under the FRTB regime is not simply calculating and reporting capital charges, but coming up with strategies to better optimize the use of the available capital. The FRTB engine focuses on analytics that helps banks identify trading opportunities to maximize return on capital.
FRTB Engine at-a-glance
Our portfolio management functionality allows for risk calculation and presentation, risk data visualization, market scenario analysis and hedging strategies identification. As such, it is a useful tool not only to banks, but also to a large population of hedge funds, insurance companies and investments funds. In addition, our software solutions can be tailored for specific operational or institutional needs.
• Provides high level reporting for senior management
• Allows for drill-down to levels of increased detail
• Mostly charts and top level capital and risk numbers
• Sits at the end of the daily workflow – shows final results to senior management after the data and results have been signed off by analysts
Data Quality Assurance
• Data quality is a key element of any risk management solution, particularly challenged by the diversity and complexity of data sources in banking and financial services.
• While most vendor solutions assume the data quality is adequate, the GPS FRTB engine provides banks with the tools to accomplish their data ownership and data lineage mission.
• Our data quality management solution includes a comprehensive set of exception reporting tools that will highlight actual and potential data problems and allow for easy resolution and sign off, with full audit trail for any changes
Our FRTB module provides end users with a rich but easy to use tool set for meaningful analysis of risk numbers prior to sign-off
Position/risk browsers will be key elements of the analyst toolkit, that will show all relevant instrument data at the lowest level of granularity and allow for aggregation in multiple dimensions:
• by business organization hierarchy (book, desk, division, etc.)
• by risk class, risk type, risk bucket etc.
• by Instrument type
The analyst tools will also allow for analysis of risk changes from one day to another as well as comprehensive historical analysis, including historical trends
We emphasize ease of use and relevance, with well designed, intuitive screens
‘Power User’ functionality with flexibility in screen configuration and definition of aggregation criteria will be made available, but with a view of keeping complexity to a minimum
Our Reporting Center provides a set of reports summarizing the risk and capital position in terms of:
• Total risk, standalone risk and marginal risk by various levels in the hierarchy
• Total risk, standalone risk and marginal risk by risk classes and types
• Risk limits and limit compliance
• Flexibility and ability to quickly develop new reports should be a key design principle
• A comprehensive set of flags and alerts, allowing for close monitoring of desks’ compliance with risk limits
An extension of the analyst toolkit, the ‘what-if’ analysis will also allow the user to:
•Analyze how risk and regulatory capital is likely to change under various market scenarios
•Analyze various desk configurations and allow for an organizational design that provides ‘optimal’ regulatory capital
•On a desk by desk basis, allow for an analysis of capital charges in both the standard and advanced approaches and help perform the cost-benefit analysis of applying for advanced approach approval
•Quickly analyze the impact of any proposed regulation changes (e.g. a proposed change in correlation or weight values)