GoldenSource has combined its RiskHub risk data management and analytics capabilities with its enterprise data management (EDM) software to deliver a solution for Fundamental Review of the Trading Book (FRTB) regulation that comes into force in January 2019.
The GoldenSource solution will be available to banks from January 2017 and supports both the standard and internal model approaches for calculations of market risk capital requirements and reporting as set down in the regulation. The solution pulls together market data back to 2007 and position and risk data to ensure FRTB calculations are efficient and auditable. It also includes a curve-shift methodology that uses risk sensitivities to give risk officers the ability to deliver different types of control and regulatory calculations.
Charlie Browne, head of the market data and risk solutions division at GoldenSource, says: “Our solution differentiates on the basis of the underlying GoldenSource market data model, which is a robust model and allows risk sensitivity, P&L and market data to be viewed in the same way at different points on a curve. FRTB makes every point on every curve important and our data model can support that.”
Browne says the company is talking to Tier 1 banks using its EDM products, as well as prospects and consultants, about the GoldenSource FRTB solution, and suggests small banks will be able to use it as an out-of-the-box solution, while large banks will use it in a more piecemeal approach to FRTB compliance.