Banks can do so much more with FRTB compliance. Here’s how.
Trading banks must as a minimum implement the “standardised approach” to comply with the new Fundamental Review of the Trading Book (FRTB) set of regulatory proposals. In this article we look at how advanced analytics tools can help banks derive insights beyond minimum FRTB compliance.
The spirit of the regulation is to improve capital adequacy, but banks can derive many additional benefits if the implementation of FRTB has a strategic vision. While it’s possible to implement the required calculations for the standardised approach in spreadsheets – and this will produce a capital charge number to keep regulators happy – it doesn’t easily allow banks to leverage these calculations in other ways. A well-designed system will provide robust, repeatable calculations and have the flexibility to support advanced analytics to offer insights into the capital charge.
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