ActiveViam Powers Service to Help Banks Navigate FRTB Risk Modelling

ActiveViam Powers Service to Help Banks Navigate FRTB Risk Modelling

ActiveViam continues to branch out and expand on the use cases for its flagship in-memory data analytics platform, ActivePivot, and is providing the technology behind the Depository Trust & Clearing Corporation (DTCC)’s beta version of its FRTB Real Price Observations Data Service.

ActiveViam’s risk management solutions are used by some of the most prestigious financial institutions in the world, empowering them with real-time analytics and the ability to create a meaningful structure around the massive volumes of data used today by the financial industry. The DTCC provides post-trade clearing and settlement services to the global financial services industry.

The Basel Committee on Banking Supervision (BCBS) in January released an updated version of its Fundamental Review of the Trading Book (FRTB) regulation that requires banks to source pricing data to prove some level of fungibility for infrequently traded risk factors in the over-the-counter derivatives market. The FRTB service combines ActivePivot’s signature, nimble in-memory technology with the DTCC’s expansive pools of data allowing banks to calculate and model “non-modellable risk factors” (NMRF), as laid out in the regulation, which would allow the firms to maintain the use of the less capital-intensive internal models approach (IMA).

“We are delighted DTCC chose to partner with us and we look forward to bringing this project to life,” said Kathy Perrotte, Co-Founder and Managing Director, ActiveViam. “This service will help banks move beyond uncertainty and conjecture related to the IMA and position them to achieve the actual insight necessary to make strategic plans to address the challenges created by the FRTB framework.”

The importance of this service cannot be underestimated since without proper identification, calibration and modelling of these risk factors, banks will be subject to higher regulatory capital charges.

“We are excited to launch the beta version of our new FRTB data service in order to deliver the data and tools banks need to adequately measure modellability and capital impacts. Our service leverages DTCC’s global data collection infrastructures to pool observable transaction data, helping banks meet requirements for internal model approval, thereby maximizing risk capital charge efficiencies. We were committed to finding the best consulting and technology partners to deliver our solution and selected ActiveViam because of its reputation in the industry, experience with FRTB and speed to market.” said Tim Lind, Managing Director, Head of DTCC Data Services.

Related resources

FRTB Accelerator
The Fundamental Review of the Trading Book (FRTB) – Tackling A New Approach For Market Risk
ActivePivot Under the hood
Managing business performance and detecting outliers in financial services
ActiveLedgers – Facilitating and shortening the accounting period close
Collateral Optimization
Optimizing Liquidity Management
Real-time Credit Value Adjustment
eBook – Intraday Liquidity Management
eBook – Liquidity Management

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