GoldenSource Readies FRTB Risk Calculation Solution

GoldenSource is building on its data management competencies to develop new risk calculations and visualizations, as well as scenario analysis, to support FRTB requirements.


FRTB, which will come into force in January 2019, is a prescriptive piece of banking regulation for calculating the capital firms must hold to protect against market risk, says Charlie Browne, head of market data and risk solutions at GoldenSource, adding that banks are concerned about the difficulties involved in these risk calculations. "Banks already do these calculations to a certain extent, but FRTB is prescriptive about how you do it. Banks have frameworks in place that have evolved ov