Nov 3, 2017

Optimizing FRTB with Cloud Technology

No one said implementing FRTB was going to be a flick of the switch. It was known early on that, operationally, computationally and financially, it would likely be an enormous undertaking. When FRTB was finalized in January of 2016, the reaction from banks ranged from shock to indignation given the far-reaching impact it would have on them and their clients.

We are now at an inflection point. Almost 22 months since the FRTB framework was finalized, banks have used up roughly half the time available to them for implementation before the rules are phased in from 2019. This means that FRTB readiness will have to be a key priority for 2018. But where do banks stand in their FRTB implementation efforts? And what changes, if any, have regulators made?

In this video, James Jockle, Chief Marketing Officer at Numerix, sits down with Justin Taylor, Chief Executive Officer of Vector Risk, a provider of cloud-based risk software solutions to the capital markets space, to discuss the current status of the FRTB world, from both the regulators’ and banks’ points of view. They focus on what has transpired over the last year and what are some of the uncertainties and issues that exist going forward. Jim and Justin also talk about the recent enhancements introduced into the Numerix FRTB App, which is a scalable Azure native solution that was developed via a partnership that includes Numerix, Vector Risk and Microsoft, and which is available on Microsoft AppSource. The enhancements include advances in the analytics supporting the P&L attribution test and backtesting, as well as boosting the calculation capability for determining CVA. These improvements add significantly to the high-performance competency of Numerix FRTB, which is designed to align with banks’ FRTB transformation at all points in the process; for early stage strategic decision making and for long term FRTB compliance.

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