Numerix, the leader in risk technology today announces the immediate availability of Numerix FRTB. Numerix FRTB can help banks transform their front and middle offices to comply with the new Basel III Fundamental Review of the Trading Book (FRTB) market risk framework.

The full solution is available now and ready to help banks assess FRTB’s impact on their overall and desk-level capital requirements. Numerix FRTB can assist with strategic decision-making in early stages, and provides a high performance SaaS solution for ongoing FRTB compliance.

“FRTB is a game changer that demands a fundamental shift in the ways banks function and manage risk. But at this point the market is exhausted of hearing about the myriad of challenges and sifting through half-baked vendor solutions. Time is running out on discussions and strategizing – and for those banks on the path to a broader enterprise-wide technology transformation, FRTB is the catalyst to take action now,” said Steve O’Hanlon, CEO of Numerix.

Numerix FRTB is designed to align with banks’ FRTB transformation at all points in the process; for early stage strategic decision making and for long term FRTB compliance.

Banks can calculate indicative FRTB capital requirements for initial discussions with regulators including impact assessment using FRTB’s Internal Model Approach (IMA) versus the Standardized Approach (SA). With Numerix users can understand the business implications of FRTB immediately; determining which business lines and asset classes are most viable and which trading desks may need to be restructured or discontinued moving forward.

With early stage understanding of FRTB’s impact on different trading desks and lines of business, the solution can be utilized for running IMA and SA calculations in to the future in the most optimal and capital efficient way possible.

High Performance, Scalable Risk Engine

Numerix FRTB cloud-based SaaS deployment enables quick time-to-market for integrating into existing IT infrastructures. Scalability of the cloud calculates daily capital numbers in minutes instead of hours. Central to the solution is a high performance computing engine of vectorized models providing an 80 times speed-up over normal code guaranteeing maximum performance. Vectorized pricing allows FRTB to run on large bank portfolios, over 180 million per minute for a mixed portfolio on a moderate Azure cluster (80 CPU cores).

The intuitive out-of-the-box workflow is designed for automation of daily process with a task list for loading data, running calculations and producing reports. The solution offers flexible market data options where users can import their own market data or connect to standard market data packages.

“At this point every institution is thinking about FRTB differently. FinTech players like ourselves need to be ready to respond to a range of needs. Numerix FRTB is designed to be a flexible component of an institutions’ FRTB strategy, for business impact assessment or as a core component of a broader enterprise wide transformation,” says O’Hanlon. “No matter where a firm is in the process, to meet the effective, go-live date for use of a FRTB-IMA production environment, technology decisions need to be made in early 2017 in order to have a solution implemented, tested and in place for the rigorous 12-month accreditation process. The demand is now and Numerix is proud to say it’s ready to support its clients with a real solution.”

Numerix FRTB IMA and SA Approaches

Numerix FRTB provides a centralized approach for managing P&L attribution. The Internal model approach computes stressed Expected Shortfall by risk factor and liquidity horizon, and Non-Modellable Risk Factors stress tests. Users can examine the sources of change in their mark-to-market from one day to the next for P&L Attribution observing P&L due to maturing trades, new trades, market movements (broken down further by risk type), and theta. Numerix FRTB can monitor the criteria for each desk’s inclusion in the internal model. Hypothetical and actual P&L can be uploaded by the bank for this process and Numerix FRTB can provide the necessary supporting metrics.

The Standardized model employs a curve driven, all-inclusive approach to the definition and generation of sensitivities. The FRTB standard model also automates the critical step of defining and generating the delta/curvature/vega sensitivities. The sensitivities are applied to the appropriate vertices for the capital calculation. The solution delivers packaged aggregation for FRTB’s bucketing rules, as well as the Default Risk Charge (SA-DRC) and the residual risk add-on.

O’Hanlon concludes: “We expect larger transformation projects to stem from FRTB compliance. As the only platform to transcend the front office and middle office, Numerix Oneview provides integrated analytics for trading, risk, finance and operations. Enhanced with FRTB capabilities, Numerix Oneview will fully capture all elements of risk used to underpin key business decision making within banking institutions. We’re excited to bring another critical component of the Oneview vision to our clients around the globe.”