The net impact of the barrage of incoming regulatory requirements on the risk-management function should not be understated. The Fundamental Review of the Trading Book (FRTB) and the standardized approach for measuring counterparty credit risk exposures (SA-CCR) are game-changers for the risk-management and data-management functions.

Data-aggregation tasks to support the XVA desk (which manages credit, funding, and other valuation adjustments) are significant, and the quality of this data is of paramount importance in accurately determining the price of OTC derivatives. Also, the increased prescription for FRTB model approvals means that currently accepted modelling techniques will likely be disallowed and must be replaced; hence, new calculations and new data sources must be found to implement these changes.

This Impact Report examines how firms are tackling transformational activities for risk management and data management, building their current technology and data-management infrastructures to meet the new regulatory and market requirements.

Data Sources, Validation and Flows

Data Sources, Validation and Flows Source Aite Group 2016

At a base level, a risk-data transformation project requires the cooperation of several different functions including (but not limited to) finance and treasury, collateral management, compliance, market and credit risk teams, reference data management, credit valuation adjustment (CVA) or XVA desks, and front-office leads. If a significant in-house build is in the cards, IT must also be engaged early to help scope the project and deliver the various technology components in phases.

This report, commissioned by Numerix and conducted by global research and advisory firm Aite Group, is based on conversations with 15 market participants in risk management, operations, and compliance functions at capital markets firms active in the global derivatives sector, and implementation consultants engaged in supporting transformational activities for risk management and data management. 

This 36-page Report provides cutting-edge examination of:

  • Data Sources, Aggregation Tasks and Flows to Support the XVA Desk
  • Global Derivatives Regulation Examination - Basel III, SA CCR, FRTB
  • Hardware Costs and the Scale of the FRTB Data Challenge
  • Steps for Determining an Effective Approach for Risk Data Management
  • Examples of Transformation Risk Data Architecture Programs

 

ABOUT AITE GROUP

Aite Group is a global research and advisory firm delivering comprehensive, actionable advice on business, technology, and regulatory issues and their impact on the financial services industry. With expertise in banking, payments, insurance, wealth management, and the capital markets, we guide financial institutions, technology providers, and consulting firms worldwide. We partner with our clients, revealing their blind spots and delivering insights to make their businesses smarter and stronger. Visit us on the web and connect with us on Twitter and LinkedIn.

Download Impact Report

Complete the form below to download this complimentary impact report.

Select Form: 

Form #5: Research

Keep me informed of future research from Numerix:

Sign me up to receive "Derivative Insights & Innovations" monthly newsletter by Numerix:

* Required fields
news - article pdf - May 22, 2017

Sell Side Technology Awards 2017 | Best Credit Risk Product

conference presentation

Algorithmic Differentiation For Callable Exotics: PV & XVA

written blog

Could SaaS be the Key to Unlocking FRTB Complexity?

press release - May 6, 2017

The Numerix FRTB App Now Available on Microsoft AppSource

written blog

Technology’s Challenge to Capital Markets: Are You In or Are You Out?

newsletter issue - May 4, 2017

Derivative Insights & Innovations - May 2017

on-demand webinar

Hedging USD/MXN: How to Hedge the Trump Era Policy Impacts on the Peso

video blog

Bank Technology, FinTechs and the Impact on the Bottom Line

video blog

Electronification of Capital Markets | Analyst Insights with Greenwich Associates

video blog

FX Derivatives: Electronification, Regulation, Globalization and the Market Outlook

video blog

Electronification in the FX Exotic Derivatives Market: Risk, Liquidity and Market Making

press release - Apr 12, 2017

Numerix Wins Best Sell-Side Credit Risk Product for 5th Year Running