Traded Market Risk
Fundamental Review of the Trading Book (FRTB) & Value at Risk (VaR) Market Risk Management
Confidently navigate the ever-evolving regulatory landscape with flexible cloud-based solutions that support compliance with Basel market risk requirements.
With a fully cloud-hosted UI supported by our global team of trusted subject matter experts, we can help you reduce the impact, cost and complexity of FRTB projects.
Key Features
Stress Testing
Run internal and regulatory scenario expansions with various combinations of data, expansion models and close of business dates in an intuitive, easy to navigate interface. Benefit from built-in metrics, benchmarks and graphs to facilitate scenario analysis and validation.
Regulatory Compliance
Improve capital management and visibility with our standard approach (SA) or internal model approach (IMA) offerings, supporting your compliance with global and regional regulatory.
Portfolio Impact
Understand the P&L or capital impact on your trading book by revaluing the portfolio under stress scenarios.
How It Works
Future proof your market risk capabilities
Measure and monitor market risk across a broad range of asset classes with an intuitive solution preloaded with S&P Global Market Intelligence market data which minimizes total cost of ownership and onboarding time.
- Comprehensive VaR & ES calculation across all asset classes and trade types
- Supports Monte Carlo and Historical VaR with full revaluation of the portfolio
- Sensitivity analysis and stress testing configured through a highly intuitive interface
- Supports regulatory and market risk requirements
Traded Market Risk Solution
Improve capital management and visibility
Get immediate access to FRTB SA calculations with this lightweight, intraday aggregation and analytics tool that performs lightning-fast calculations on a multi-asset risk engine, fueled by best-in-class market data. The solution supports all the components of the SA capital charge including:
- Sensitivity Based Method (SBM)
- Residual Risk Add-on (RRAO)
- Default Risk Charge (DRC)
Assess and manage risk factor modellability
FRTB establishes strict criteria for determining risk factor modellability and introduces significant capital charges for non-modellable risk factors (NMRFs).
The FRTB Modellability Service helps banks satisfy these regulatory requirements and avoid punitive capital charges by transforming raw market data into compliant risk factors.
The service comes with S&P Global's breadth of transaction data on-board, which can be supplemented by a bank's own data and/or third-party data. This supports the derivation of modellable risk factors (MRFs) and NMRFs by counting transaction observations and assigning transactions to buckets of risk factors of varying sizes. It reduces the number of capital-intensive NMRFs by improving modellability.
Benefits of Our Traded Market Risk Solution
SA and IMA Compliance
Improve capital management and visibility for compliance with global and regional regulatory requirements.
Intuitive Solution
Leverage our platform’s turnkey capabilities and project acceleration track-record without sacrificing flexibility.
Trusted Solution
Gain unique insights with our curated data, analytics and expertise, combined with your internal or third-party data.
Accelerate Decisions
Access calculation capabilities to assess the capital impact of new trades, model assumptions or changing market conditions on the fly.
Reduce TCO
Significantly reduce total cost of ownership (TCO). Leverage our FRTB experts with this hosted solution that is preloaded with S&P Global market data to minimize onboarding time.
Related Content
Market Risk Management FAQs
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Request Follow Up
Fast track your regulatory compliance and request a tour of the Traded Market Risk Solution today.