ActiveViam Updates Software Reflecting FRTB January Changes – Helps Clients Launch QIS Process

ActiveViam Head of Front Office
ActiveViam |
September 15, 2020

March 4, 2019 – Less than six weeks after regulators released their final guidelines for implementation of the Fundamental Review of the Trading Book (FRTB), ActiveViam is ready with updates that can provide clients with the ability to swiftly process the current round of Quantitative Impact Studies (QIS).

ActiveViam’s FRTB Accelerator, an add-on to the firm’s flagship ActivePivot platform, contains all the source code and prescribed formulas needed to meet these specific requirements. This is owed to the fact that the software sits unobtrusively in a bank’s architecture which facilitates a seamless upgrade once regulatory changes are afoot. The Accelerator allows current users to change the inputs and then performs incremental updates. The software can process tens of thousands of real-time updates per second and continuously calculates and aggregates non-linear data ‘on the fly’. Only the metrics that are impacted by any data change (i.e., trade, reference, market data, etc.) are refreshed.

All that was required is a revision to the formulas which are already embedded in the system, with no need for on-site changes. ActiveViam released these updates to clients on February 21st. QIS submissions are due in early April.

“We are excited to announce that the updates to the FRTB Accelerator are available so soon after the release of the final regulations,” said Xavier Bellouard, Founder and Managing Director of ActiveViam in London. “These requirements have been anticipated for months and our speed with developing a solution demonstrates our commitment to our clients and the industry-at-large to help them quickly meet regulatory standards.”

Global regulators have continued to release a steady stream of directives that require banks to continuously evaluate their risk and report their findings.

The Standardised Approach (SA) has long been one of the methods used to do this. Part of performing the QIS, which continues to measure banks’ risk-weighted assets and capital ratios, involves the same calculations as if a bank were performing the SA exercise under the FRTB requirements.

The SA requires that banks perform a simple sum of capital requirements drawn from three separate exercises. ActiveViam has updated these related calculations and made them available for clients to use less than two months after the release date. This includes updated risk weight parameters, expanded definition of liquid FX pairs, additional equity and CSR index buckets, updated curvature calculations and updated “low correlation” scenario calculations.

ActiveViam continues to work with banks as they ingest the new rules.

“The flexibility of the Accelerator, both in integrating with existing systems and in supporting jurisdictional differences, was key to quickly releasing a version with the changes required to support banks in the current QIS,” said Robbie Mouat, Principal Quantitative Analyst at ActiveViam. “We have worked closely with our clients to ensure the Accelerator meets their needs and enables them to perform the required calculations with confidence.”

ActiveViam offers clients a lightweight, configurable solution that can be adapted to meet almost any set of regulatory or operational challenges. All solutions can be delivered on premise, as SaaS or run in the Cloud.

About ActiveViam

Since 2005, ActiveViam has deployed analytical solutions to help financial services firms make instantaneous business decisions and meet operational challenges. Powered by its leading in-memory technology and featuring expert-designed user interfaces, ActiveViam’s products offer a unique level of precision, speed and adaptability.

ActiveViam’s software is used today by global banks, hedge funds, asset managers and derivatives exchanges for their most sensitive and intensive analytics needs. With offices in Paris, London, New York, Singapore and Hong Kong, our 40+ clients in more than a dozen countries include HSBC, Société Générale, Scotiabank, Mizuho, Nomura, CME Group and Tudor Funds.

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