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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, that you can use as a calculation or validation tool for the ASA.
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.
Stéphane is a senior consultant with proven skills in credit and market risk (including FRTB) and extensive knowledge of financial markets. He is a subject-matter expert in IFRS 17, Basel II, Basel III and Solvency II,. His field of competence also covers Strategic Asset Allocation (SAA) for insurers. Stéphane has been involved in the implementation of IFRS 17 for many insurance and reinsurance companies in Europe and North America. He is an active member of the Finalyse IFRS 17 Centre of Excellence, where he has been leading the development of the Finalyse IFRS 17 calculation and reporting tool.
Denis Healy is a Senior Consultant in the banking and financial services industries. He has mainly worked across credit and market risk engagements with experience in Model Validation, FRTB, IRRBB, Liquidity and ALM. He also has technical expertise in SAS, SQL and Python.
Makram Merdas is a consultant with 4 years of experience in modelling and management of both Market & Liquidity Risk, with strong focus on ALM, IRRBB and FRTB complemented by technical expertise in Python and SQL. He also has a comprehensive knowledge and experience in regulatory requirements, model validation and Stress Testing. Makram is a certified Financial Risk Manager (FRM).