Quantifi, a provider of risk, analytics and trading solutions, and Kauri Solutions, a specialist financial consultancy firm, recently co-hosted a webinar on ‘FRTB: Strengthening market risk Practices?’. The 100+ delegates were invited to take part in a survey on how prepared their firms are for dealing with the impact of FRTB and their approach to addressing implementation challenges.
Key findings from the survey:
“The intensity of FRTB calculations leads to a significant increase in the volume of data needed to be processed. Within FRTB programme streams, managing non-modelable risk factors (NMRF) is another area of focus. Expectations are that solutions (internally developed, customised, or external) will support data integrity, modelling, stress/scenario analysis and RWA production activities related to NMRF and proxies. This includes better aligned data repositories for market, position and risk data in order to classify, monitor, alert and rectify when modelable risk factors become unmodelable according to FRTB rules” comments Vlad Ender, Managing Director, Kauri Solutions.
“The impact and requirements of FRTB across risk, front office, finance and IT are broad and deep. FRTB places greater pressure on bank business models as it requires a major rethink of front-to-back frameworks and processes. Banks are at varying levels of preparedness to deal with the impact of FRTB. Forward thinking firms are assessing the parameters of FRTB and making decisions on desk structure, technology and methodologies.” comments Dmitry Pugachevsky, Director of Research, Quantifi.
Kauri Solutions is a specialist financial consultancy firm. Combining in-depth knowledge of the financial markets with business acumen and IT skill, Kauri Solutions creates bespoke solutions to meet client needs. Services include regulatory advise, advising on derivative and securitization structures, identifying, implanting and delivering standalone derivative products and platforms, and delivering time-critical IT systems that cross the front, middle and back office.
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