Markit has developed what it describes as a comprehensive solution for compliance with the new market risk capital requirements in the Fundamental Review of Trading Book (FRTB) standards.
“FRTB will potentially have a dramatic impact on banks’ trading operations,” said Yaacov Mutnikas, managing director and co-head of Solutions at Markit. “The solution leverages our core strengths across capital modelling, transaction processing and data aggregation to help solve these issues. Markit’s capital impact research indicates our aggregated transaction data can result in a 40 percent reduction in capital requirements compared to banks using only their own data.”
The solution will comprise four components: Markit FRTB Data Service: transaction and historical pricing data sets to supplement banks’ data for meeting modellability requirements; Markit Risk Factor Utility: a hosted utility for managing and deriving risk factors and generating scenarios for backtesting, P&L attribution and Expected Shortfall; Markit Analytics Risk Engine: a market risk calculation engine and stress testing framework; Markit FRTB Studio: a rapidly deployed, impact analysis tool which combines full drill down and intraday views of risk and capital measures across CVA (Credit Valuation Adjustment) and Market Risk (for Standard Approach and Internal Model Approach).
FRTB is scheduled to come into force in 2019.