There is no denying the impact the Fundamental Review of the Trading Book (FRTB) will have on the industry when it is implemented in 2020. Firms are already looking at the best ways to comply with the framework proposed by the Basel Committee on Banking Supervision, despite it being three years away from coming into force.
A major portion of the regulation revolves around calculation methodologies. That's where Asset Control and its AC Risk Data Manager comes in. The tool is specifically focused on the market data challenges associated with FRTB, according to Martijn Groot, vice president of product management at Asset Control, who says its aim is to deliver a controlled supply chain for risk data.
This includes quality assurance and governance of prices and risk factors, management of regulatory and internal scenario libraries, a standard data model and rule mapping from stress-tests and shocks to quotation elements, and solid, fully auditable data infrastructure.
“AC Risk Data Manager is a focused solution to address the risk-factor mapping and risk-factor assessment challenges,” Groot says. “Building on the AC Plus core platform for its time-series data management, AC Risk Data Manager overlays this with a set of mapping rules and data model extensions specifically for FRTB. On top of that, it includes a user interface for the configuration of time-series operations, from proxy rules to risk-factor calculations to scenario management.”
AC Risk Data Manager’s origins started in stress-testing, Groot says, but recent enhancements have included an introduction of the FRTB-specific data model extensions and what he calls “modellability” tests. All of this offers risk managers efficient access to risk data configurations so they can quickly react to new data requirements, according to Groot.
There are more enhancements in the pipeline for AC Risk Data Manager, as would be expected of a product addressing a regulation not set to come into effect until 2020. Over the next 12 months, the platform will offer users long historical datasets for reduced risk factors, a requirement of FRTB. The tool will also track links between source data and proxied risk factors to report on the effects of changes to modellability, Groot says.
There are more enhancements in the pipeline for AC Risk Data Manager, as would be expected of a product addressing a regulation not set to come into effect until 2020. Over the next 12 months, the platform will offer users long historical datasets for reduced risk factors, a requirement of FRTB.
“AC Risk Data Manager is a powerful component for time-series operations in general,” Groot says. “While it helps clients with scenario management and the preparations for FRTB, we expect to see more use-cases in valuation and risk, including portfolio valuation and scenario analysis.”
Anthony and James look at developments pertaining to the Consolidated Audit Trail and wonder if big-tech companies could challenge traditional asset managers.Subscribe to Weekly Wrap emails
- WatersTechnology Innovation Summit Q&A: Elly Hardwick, Deutsche Bank
- In Capital Markets, Blockchain's Evolution Has Left the Bitcoin Model Behind
- Waters Wavelength Podcast Episode 96: CAT Concerns & Big Tech Takes Aim at Asset Managers
- WatersTechnology Innovation Summit Q&A: Stewart Carmichael, Schroders
- Waters Wavelength Podcast Episode 95: Bitcoin/Blockchain News, BNP's Acquisition, Post-Trade Tech