FRTB Solutions@weight>
Fast track your regulatory compliance with S&P Global Market Intelligence
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Discover flexible, cloud-based solutions that support regulatory and market risk requirements.
Our award winning FRTB solutions support compliance with the Basel market risk requirements with a hosted service that combines our market-leading data and cutting-edge analytics. With a fully cloud hosted UI supported by our global team of trusted subject matter experts, we can help you reduce the impact, cost and complexity of FRTB projects.
FRTB SA solution
Improve capital management and visibility with our SA solution
FRTB Modellability Service
The data and analytics you need to assess and manage risk factor modellability
Our FRTB SA Service offers a lightweight, intraday aggregation and analytics tool providing immediate access to SA calculations.
With lightning-fast calculations performed on a multi-asset risk engine, and fueled by our best-in-class market data, the solution supports all the components of the SA capital charge including:
- Sensitivity Based Method (SBM)
- Residual Risk Add-on (RRAO)
- Default Risk Charge (DRC)
Supporting your compliance with global and regional regulatory requirements as they evolve.
FRTB establishes strict criteria for determining risk factor modellability and introduces significant capital charges for non-modellable risk factors (NMRFs).
The FRTB Modellability Service from S&P Global Market Intelligence helps banks satisfy these regulatory requirements and avoid punitive capital charges by transforming raw market data into compliant risk factors.
The service comes with S&P Global's breadth of transaction data on-board, which can be supplemented by a bank's own data and/or third-party data. This supports the derivation of modellable risk factors (MRFs) and NMRFs by counting transaction observations and assigning transactions to buckets of risk factors of varying sizes. It reduces the number of capital-intensive NMRFs by improving modellability.