One of the most painful tasks in data analysis is that isolated report you have to compile once or twice a year. You have to assemble a mountain of data in advance, book time on expensive computers to run the numbers,and mobilize your team over several days, all to produce a report that may not even have any business impact at the end of the day. It's frustrating and demotivating.
We may never be able to make all of it go away, but today, we are introducing a new service offering to help you with one of those reports: the Atoti FRTB SA QIS SaaS.
The challenges of FRTB SA quantitative impact studies
Sometimes in our business, we run the risk of an acronym overdose. So, what are we talking about exactly?
FRTB: The Fundamental Review of the Trading Book, the well-known upcoming set of rules governing market risk capital requirements.
SA: Standardized Approach. The default risk calculation methodology prescribed by FRTB, based on sensitivities. The Standardized Approach exists alongside IMA, the Internal Models Approach.
QIS: Quantitative Impact Studies, or Basel III monitoring exercises. In this context, they are impact studies mandated by regulators for certain market participants around the world, and voluntary for others, that take place twice a year. Banks taking part must calculate the impact FRTB SA rules would have had on their capital charge requirements - and explain where and why it differs from the results of their current methodology.
SaaS: Software as a Service.
FRTB Quantitative Impact Studies present a unique challenge for market risk departments:
- Gathering valuable insight is difficult with systems that are often not designed to easily let users drill down and identify the root cause of a change.
- Rolling updates to the study can be released close to the due date and may be difficult for organizations to monitor the changes and make the adjustments needed to the report.
- FRTB QIS mobilizes costly hardware, representing a significant cost as well as a headache for IT managers tasked with freeing up those resources.
The best approach to tackle the QIS is to make the most out of the time and resources spent on them. It is to treat them not as a chore, but as a way to train and prepare for when FRTB becomes the rule. This is what ActiveViam’s new offering is all about.
How our new FRTB SA QIS service can help you
To create this product, we packaged the ISDA- certified, multi-jurisdiction and vetted functionality of our award-winning Atoti FRTB, already in production at several major international banks. We curated the scope of the product to simplify the learning curve and to focus on supporting the regulatory monitoring exercise.
The result is that it turns the FRTB QIS from something of a chore into a genuine insight-gathering process. Within Atoti's best-in-class analytics environment,users can drill down and drill through their data to easily identify and explain the differences in capital charge requirements - and therefore anticipate how best to prepare their business for FRTB.
Furthermore, QIS reporting is a perfect fit for a SaaS solution. You don't need to rewrite your Excel spreadsheet for FRTB SA calculations; we run those calculations for you - and ensure they follow regulatory prescriptions to the letter. You don't need to book hardware in advance with the IT department; it's always available.
Getting started with FRTB QIS: How does it work?
From the user's standpoint, the FRTB SA QIS service is as straightforward as possible:
- We have an introductory call to best understand your needs and configure the service appropriately: What is the jurisdiction? What is the size of your datasets? How long do you want to book for the analysis?
- You upload your risk data as ISDA CRIF files
- The application completes FRTB SA calculations
- You gain access to a dedicated analytics application, specifically designed for QIS, where you can explore your data at will, for as long as you wish
You integrate the results into the QIS report
Another step on the road to FRTB
We have designed this service not just to help you with your QIS, but also to help prepare your team and your organization as a whole for FRTB, with pricing adapted for banks of all sizes. We are bringing it to the market today in advance of an upcoming comprehensive FRTB SaaS solution based on Atoti FRTB.
We have been building and deploying FRTB SA and IMA solutions in production at many banks for years now, we know exactly what it entails for organizations of all sizes. If you want to get a sense of what Atoti, the best-in-class FRTB solution, can bring to your market risk analytics, the FRTB SA QIS service is a perfect way to experience a slice of it, to turn the QIS into a meaningful insight-building process and finally to build up experience and expertise on the logic and processes of FRTB.
