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How Finalyse can help
FRTB
Your institution is probably facing complex and costly challenges, whether you are opting for the alternative standardised approach (ASA) built on the sensitivities-based method (SBM) or the alternative internal model approach (AIMA) based on Expected Shortfall. Leveraging on our expertise in navigating regulatory complexities and market risk analytics, our service provides support to finalise your FRTB framework, in alignment with your institution's risk management objectives and regulatory obligations.
In this context, we propose a stand-alone FRTB solution along with the reporting templates, that you can use as a calculation or validation tool for the ASA. We also provide valuation and sensitivities calculation services from simple to complex trading instruments, as well as model validation services.
How does Finalyse address your challenges?
Support with selecting a suitable approach, considering all the costs and trade-offs involved
Steering the implementation effort in line with the regulatory agenda
Identification of gaps versus regulatory requirements
Portfolios review to determine whether assets categorisation between the banking and trading books is correct
Valuation models for Delta, Vega, and curvature sensitivities
Out-of-the-shelf tool for quick and efficient implementation, including regulatory reporting
Key Features
- Support in implementing, fine-tuning, or validating either the ASA or the AIMA.
- Sensitivities-based Method (SBM) stand-alone calculator
- Fulfilment of the latest specific reporting requirements for market risk
- Review of the Trading/Banking Book boundaries and related template
- Gap analysis, data management, valuation, model development, and testing
François-Xavier is a Principal Consultant with advanced expertise in Financial Markets, ALM and Risk Management, covering both banks and insurance companies. On the banking side, François-Xavier is a practice leader on Valuation, IRRBB, FRTB, VaR, Initial Margin and Counterparty Risk, well acquainted with the regulatory requirements and the market practices surrounding market risks. On the insurance side, François-Xavier has extended experience in the regulatory treatment of financial instruments, ORSA, and hedging balance sheets against interest rate, credit spread and inflation risks.
