One Regulation, Two Approaches
According to Basel IV, all organizations will be required to do the full standardized approach (SA) regardless of whether or not they are calculating the internal model approach (IMA). While SA incorporates a sensitivities-based approach (SBA), revisions to IMA focuses on P&L attribution and non-modellable risk factors (NMRF).
Standard Approach
- Applies a default risk charge (DRC) by capturing jump-to-default risk
- Includes residual risk add-on (RRAO), capturing non-linear and other complex payoff risks excluded in Basel II
- Introduces a sensitivities-based approach
Internal Model Approach
- Focuses on a new profit & loss (P&L) attribution process at the desk level
- Incorporates expected shortfall, and replaces value-at-risk (VaR) with stressed value-at-risk (SVaR)
- Introduces new charges for NMRF
Learn more about AxiomSL’s FRTB Solution
Comprehensive FRTB solution delivers:
Integration with modeling tools and/or embedded open-source technologies (R and Python) via IntegratedModelView
References to regulatory articles with transparent logic
Multi-jurisdictional calculations
Complete drilldown and dynamic data lineage for comprehensive audit defense
Transparent | Innovative | Dynamic
Driven by CapitalView, an extensible data dictionary
New and complex calculation functionality including FRTB and SA-CCR alignment
Corroborated against golden source ISDA calculations for FRTB, SA-CCR and CVA
BCBS 239 compliant with automatic, ongoing monitoring of rule changes and updates
Robust architecture handles large data volumes to deliver scalability
Solution Features
Calculations
Regulation changes are monitored on the platform, and FRTB and current standard rules can be run in parallel.
Supports risk-weighted assets (RWA) calculation requirements for SA/ IMA methodologies; enterprise wide model integration is enabled with natively run IntegratedModelView.
Risk Management
Market data management supports evaluation and processing of third-party data, prices, and evidence.
From source to submission, fully auditable adjustment functionality across all stages of the data flow delivers complete drilldown, reducing operational risk.
Data Governance
Flexible sourcing of reference data, hierarchies, business structures, trader mandates, product lists, and pricing optimizes resources.
Ongoing monitoring of the trading book/banking book adjusts calculations and data lineage enables BCBS 239 compliance expectations.
Basel Compliance
BCBS versus local rules comparison, national discretion regulations and rules engine are fully transparent.
Regulation changes are monitored on the platform and the extensible data dictionary architecture ensures consistency of data and logic.
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FRTB Solution
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