New York and London - GoldenSource, the provider of Enterprise Data Management (EDM) and Master Data Management (MDM) solutions, has launched a new data management solution for the Fundamental Review of the Trading Book (FRTB).
Coming into force on January 1st 2019, FRTB is a prescriptive set of rules which force banks to calculate how much capital to set aside to protect themselves when prices fall sharply. The GoldenSource solution aims to pulls together market, position and risk data, enabling FRTB calculations to be fully auditable and more efficient to carry out.
A key component of the solution is a curve-shift methodology, which uses risk sensitivities to give risk and finance officers the ability to deliver different types of control and regulatory calculations. The assumption is that most of these calculations can be viewed as the quantification in P&L or capital terms of differences between two market data points. For example, a bank may well have a portfolio of interest rate positions with exposures at different points along a tenor structure. At each point of the curve, banks can deliver IPV, prudent valuation, P&L attribution, reserving and FRTB calculations by quantifying the impact of the difference between two curves, whether those curves are measured in basis points, volatility points or credit spreads.
The GoldenSource FRTB solution comprises pricing connections and standardised and IMA calculations and reports. The solution is an application of RiskHub, its risk data management and analytics capabilities, combined with GoldenSource EDM, its data management suite, version 8.7 of which was released in September.