The new rules under the FRTB Internal Models Approach (IMA) bring with them an explosion of data that will challenge traditional IT architectures and technology. These new rules are significantly different from the current capital rules and prompt major changes to infrastructure and business models.
As a result, many banks are being driven to choose an approach to FRTB where they re-use P&L vectors and sensitivities - generated in existing pricing or risk systems. This is then fed into a risk aggregation system for calculating the FRTB capital numbers.
This white paper examines how organisations can deliver rich risk aggregation solutions that target requirements such as FRTB. It further explores how Adaptive FRTB Risk Aggregation is built for purpose, to manage the high data volumes and risk aggregation analytics of FRTB calculations.