MARKET RISK ANALYTICS & FRTB CONSULTING
Comprehensive Market Risk /FRTB/Counterparty Credit Risk-CCR Solution Offering
1. Market Risk Analytics & Capital Management Solution:
- Market Risk RWA Capital Assessment Program
- Market Risk Scenario Generation
- P&L Computation
- VaR Calculation
- Stress VaR Calculation
- IRC Computation
- Factors Sensitivity Computation
- Market Risk RWA Computation as per Basel II.5 /III
- ICAAP Policy for Market Risk Capital
- Market Risk System Implementation
- Market Risk Factor Analysis
- Stress Testing program
- Market Risk Data enrichments & enhancements
- Volatility Modeling [ GARCH /EWMA]
- SABR Vol Cube Modeling
- PCA Analytics
- Rates /FX /Traded Credit Risk Modeling
2. FRTB Solution Offering
FRTB-IMA
- Market Risk Capital Charge Impacts assessment [QIS] Program
- Stress Expected Shortfall [ES] Calculation
- Non-Modellable Risk Factors [NMRF] Capital Computation
- Default Risk Charge [DRC] modeling for Traded Credit Products
- FRTB Capital Impacts & GAP Analysis
- FRTB data enrichments program
- Modellable Risk factors [MRFs] Analysis
- FRTB Model Validation program
- P&L Attribution
- VaRBack testing
- Validation of Internal Model Method (IMM) at trading desk level
- FRTB Model documentation & Governance
3. FRTB-Standardized [SBA]
- Market Risk Capital Charge Impacts assessment [QIS] Program
- RFs definition, attribution and metadata association
- Factors Sensitivity [FS] calculation for Linear Products& Non-Linear Products
- Curvature Risk calculation for Non-Linear Products
- Vega computation for option embedded products
- RRAO Calculation for Exotic /Toxic /structured products
- Default Risk Charge [DRC] Calculation for Traded Credit Risk
- Standardization of FRTB database, regulatory parameters, bucketing and aggregation rules
- Model documentation and dossier for regulatory submission
- FRTB-SBA Capital Charge reporting to Central Bank
- Market Risk Data & Factor Sensitivities [FS] analysis for FRTB-SBA compliance
4. FRTB-CVA Capital Model Solution
- RFs definition, attribution and metadata association
- Factors Sensitivity [FS] calculation for Linear Products & Non-Linear Products
- Delta Risk Charge Calculation
- Vega Risk Charge Calculation
- FRTB-CVA Capital Charge reporting to Central Bank
5. Counterparty Credit Risk [CCR] Solution
- OTC Trade Configuration
- Counterparty Credit Risk [CCR] database enrichment /enhancement program
- Risk Scenario Generation
- OTC Trade valuation
- Exposure Computation [EPE /PFE/EEPE]
- Market Data Curve Configuration
- Risk P&L Generation & Attribution
- Counterparty Credit Risk [CCR] Capital Charge RWA calculation as per Basel 3 Program
- CCR-SA Capital Charge RWA Calculation program
- CVA calculation for OTC derivative business
Market Risk Analytics& FRTB Consulting
FRTB-SBA: A Comprehensive Solution on Market Risk RWA Capital Charge
FRTB-SBA: A Comprehensive Solution on Market Risk RWA Capital Charge:
This FRTB-SBA module enables Banking clients to compute market risk capital charge at Trading Desk level, and can attribute the Capital charge to risk factors level, Risk Class level and Factors Sensitivities Level [Delta, Vega & Curvature].
This FRTB-SBA module map the Bank internal tradedata eligible for regulatory compliance with regulatory parameters, correlation structure, risk weight and bucketing logic that aggregate market risk capital charges by risk types, currency, risk class etc.
The Banking Client can perform “Capital Impacts assessment”, meet their regulatory requirements for capital adequacy [CCAR], and perform attribution analysis where risk is emanating and concentrating.
We can help Banking Clients to streamline major component of FRTB-SBA program to comply with market risk capital adequacy regulation [ BCBSD457], and do Iterative assessment of regulatory text [BCBSD457] in terms of
- Trading Desk definition
- Trading Book definition to identify trades eligible for Capital requirements
- Building Trade Data Model for FRTB-SBA compliance
- Mapping Trade Data with Metadata& Regulatory text for FRTB-SBA compliance
- FRTB-SBA reporting requirement for Internal stakeholder and local regulator.
- Helping Bank to identify Gap in terms of Data, Calculation and Model Infrastructure.
- Helping Bank to get right “Factor Sensitivity [FS]” sourcing as per BCBSD457 regulatory text.
- Helping Bank to create right set of “Risk Factor RFs Definition” for aggregation and FRTB-SBA reporting requirements.
- Helping Bank to do impact analysis in terms of Capital, Business & P&L
Where We Can help you on FRTB-SBA Program
FRTB-SBA Regulatory Text & Interpretation Analysis
- Mapping of FRTB-SBA requirements with Bank Internal Trade System [ FO & Market Risk System]
- Analyze Bank data source for Mapping and Trade attribution required for compliance.
- Develop a common and consistent Framework for Bank Market Risk Capital Compliance
FRTB-SBA Capital Impact Assessment
- Define scope of work for capital charge calculation under the new FRTB-SBA Program
- Define Framework for Bank Capital Assessment for a given Trading Desk /Portfolio
Data & Calculation Gap Analysis
- Identifying Bank Data Gap for FRTB-SBA Compliance
- Documenting the Data Gap with Bank Internal Systems [ FO & Market Risk System ]
- Identify Bank "Factor Sensitivity” sourcing requirements as per FRTB-SBA
- Identify and drafting Calculation Gap requirements for FRTB-SBA Computation
Implementation Support
- Helping Bank for FRTB-SBA Solution Implementation
Vendor Selection and Product Implementation
- Vendor selection and strategic fit evaluation
- Preferred vendor relationships with the major FRTB-SBA solution vendors