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).
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
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
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.
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.
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.
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.
Scales with lines of business and jurisdictions to optimize processes across global Basel capital requirements
Provides results dashboards with hierarchies for comprehensive scenario analysis and stress testing processes
Deployable on secure RegCloud®, enabling operational efficiencies
Sensitivities-based approach (SBA) calculates delta, vega, and curvature risk charges across several risk classes
Delivers comprehensive reporting capabilities and formats (including XBRL) for internal and external submissions
Powered by new technology - like Spark - ensuring high performance for large data volumes
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How do we know our RWA is aligned with those of our peers for identical sets of sensitivities and exposures?
How do we ensure consistency between FRTB asset classes and multiple asset class potential future exposure (PFE) as required for SA-CCR?
Are we making business decisions based on risk and governance principles or are we reacting to the output floor?
Will we be able to absorb the additional IT / finance / risk and resource burden and what are best practices for optimizing resources?
Learn more about AxiomSL’s FRTB Solution
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