TMX Insights Enhances Razor Risk™ to Meet New Market Risk Standards

15 July 2016

Razor Risk™ now supports the FRTB – minimum capital requirements for market risk capital reforms. The solution offers financial institutions the ability to calculate and manage market risk capital and performance across desks, business lines or top of house.

Managing firm’s trading Book vs banking book boundary: Define policies that automatically route positions into trading or banking book portfolios, where capital and risk measures can be monitored and actions triggered real time.

Providing front to back analytics: Firms can calculate the minimum market risk capital requirements using the internal model Expected Shortfall approach or alternatively, the Sensitivity Based Approach for a given desk.

Firms’ have the option of using front office models or Razor’s own models to calculated sensitivities which can be imported through Razor’s open API. Support is given for the default risk and residual add on charges for both the standardized and internal model approaches.

All methodologies and models are transparent. Results can be inspected and drilled into via Razor Risks’ user interface.

Verify the firm’s official capital numbers: Firms can take advantage of Razor Risk’s out of the box backtesting framework. Calculate theoretical P&Ls, compare against hypothetical P&Ls, run statistical tests, manage breaches and utilize Razor Risks’ green, yellow and red zone classifications. Portfolio attribution is supported through Razor Risks’ reconciliation feature to test the alignment of front office and middle office P&Ls.

Advanced tools for capital optimization: On demand hypothetical analysis allows firms to test different desk structures to determine the appropriate asset class mix to optimize regulatory capital.

Risk and regulatory reporting: Razor Risk provides for a standard set of P&L, risk measure and regulatory reporting templates which is automatically populated for verification and distribution internally and externally, i.e. for regulatory bodies.

Non Modell-able risk factors: Utilize TMX’s Global Content and Analytics real-time and historical database platform, integrated with Razor Risk for identifying non-Modellable risk factors and appropriate liquidity horizons to calculate expected shortfall under stressed conditions.

Razor Risk’s integrated, high performance solution delivers market risk capital aggregated alongside credit and operational risk capital to provide a bank-wide view of the total risk capital requirements.


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