Traded Market Risk

Fundamental Review of the Trading Book (FRTB) & Value at Risk (VaR) market risk management solution.

Future proof your market risk capabilities with our multi award winning Traded Market Risk management solution.
Extend full revaluation of value at risk & stress testing into FRTB compliance with full support for the standard approach (SA) & internal model approach (IMA).

As the deadline for compliance with the Fundamental Review of the Trading Book (FRTB) approaches, firms are still struggling to deal with the complexity of the guidelines. Traded Market Risk from S&P Global supports compliance with the Basel market risk requirements by providing a hosted service that combines our market-leading data with cutting-edge analytics. Supported by our team of trusted subject matter experts, we can help you reduce the impact, cost and complexity of FRTB projects.

What can you expect from our solution?

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
Available on the cloud, deployed or as-a-service

Learn more about Traded Market Risk

Ready for FRTB? Explore our IMA and SA solutions

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Case study: Read how IMA banks accelerated their FRTB deliverables with Traded Market Risk from S&P Global.

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FRTB Modellability Service

The FRTB Modellability Service from S&P Global Market Intelligence helps banks satisfy FRTB RFET requirements and avoid punitive capital charges by transforming raw market data into compliant risk factors.

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FRTB SA Service

Fast track your regulatory compliance with our FRTB-SA service. Provide your trading book portfolio and we’ll do the rest. Our service delivers fast performance as calculations are performed on our multi-asset risk engine fueled by our best-in-class market data.

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VaR / Expected Shortfall

Future proof your market risk capabilities with our Traded Market Risk solution that provides comprehensive VaR & ES calculations across all asset classes and trade types. Supports Monte Carlo and Historical VaR with full portfolio revaluation.

Learn More >

Benefits of our Traded Market Risk solution

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Compliance for SA and IMA

Improve capital management and visibility for compliance with global and regional regulatory requirements

Trusted Data, Analytics and Expertise

Gain unique insights with our curated data and analytics combined with your internal or third-party data

Cloud compatible across major providers

Pay only for what you use with technology built to scale up or scale down depending on your needs

Reduce Total Cost of Ownership (TCO)

Leverage our platform’s turnkey capabilities and project acceleration track-record without sacrificing flexibility

Empower and accelerate decisions

Access calculation capabilities to assess the capital impact of new trades, model assumptions or changing market conditions on the fly.

Awards Received

Content

Related FAQs

What is FRTB?

The Fundamental Review of the Trading Book (FRTB) refers to a comprehensive restructuring of market risk regulatory capital requirements published by the Basel Committee on Banking Supervision (BCBS) between 2016 and 2019 in response to the financial crises.

After a few iterations since 2016, BCBS published the final version of the framework in January 2019, and local regulators are starting to release their final translation of FRTB into local law.

With FRTB, banks will have to comply with new rules by 1 January 2023, but a lot of retro planning, implementation and model validation work as well as regulatory approval is required in order to publish official capital numbers by this date.

Banks operating trading books will have to confirm to their respective supervisory authorities whether they wish to pursue a Standardized Approach (SA) calculation or obtain approval for an Internal Model Approach (IMA) for each desk in scope.

What is the difference between FRTB and previous regulations?

FRTB introduces a number of changes for market risk capital requirements including stricter boundaries between the bank’s Trading and Banking Book allocations (i.e. for active trading vs. held to maturity) and fewer possibilities to move trades between them.

Instead of a top-of-the-house model approval, banks will have to seek approval at the level of each Regulatory Trading Desk as well as calculating consolidated capital requirements either under the Standardized Approach (SA) or the Internal Model Approach (IMA).

Risk Factors to be included in IMA calculations will need to be evidenced as derived from sufficiently observable or liquid instruments (thereby becoming “modellable”), else banks will have to calculate a Stressed Expected Shortfall (SES) add-on for them instead.

The IMA framework also switches from the usual Value at Risk (VaR) metric to an Expected Shortfall-based risk measure based on the risk type and associated liquidity horizon.

In addition, eligible desks will need to demonstrate they pass not only back testing requirements but also a Profit & Loss (P&L) Attribution test designed to reduce any gaps between front-office and risk models which will often increase risk factor granularity compared to existing VaR models.

Failing these criteria, desks will have to fall back to the new Standardized Approach which although still based on close-ended sensitivity-based calculations, still increases in complexity and requires implementation changes.

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Connect with our product expert

Jean Zottner

Throughout his career, Jean has worked on the multiple aspects of product management, quantitative risk and system development. With over 13 years of experience in fintech and banking, he is an expert in quantitative risk and product design. He is passionate about using technology to solve business challenges and to streamline processes.Jean holds an MSc in Computer Science obtained with distinction from Oxford University, as well as an Engineering degree from ENSIIE, a French Grande Ecole.

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Karl Pople

Over a 25-year career, Karl has developed and delivered a variety of front-office and risk products. Since 2005 he has worked in the City of London holding senior positions at Rabobank International and Mitsubishi UFJ Financial Group (MUFG). Karl is the Product Owner of S&P Global's XVA Hosted Risk Service which he has overseen from inception through to its market launch in 2020.He holds a BSc Hons degree in Physics from Lancaster University and a MSc in Medical Physics from the University of Aberdeen.

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Traded Market Risk

Fundamental Review of the Trading Book (FRTB) & Value at Risk (VaR) market risk management solution.

FRTB Modellability Service

FRTB SA Service

VaR / Expected Shortfall

Benefits of our Traded Market Risk solution

Compliance for SA and IMA

Trusted Data, Analytics and Expertise

Cloud compatible across major providers

Reduce Total Cost of Ownership (TCO)

Empower and accelerate decisions

Awards Received

Related FAQs

Related financial services products you may be interested in

XVA

Counterparty Credit Risk

Buy Side Risk

Watch our related videos

Related financial services thought leadership

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FRTB - The (in)stability of Modellability in the Fixed-Income and FX markets

Navigating Tail Risks in the New Decade Using Value at Risk

LIBOR Transition and FRTB Modellability

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