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Percentile launches tool to address FRTB

First Published 7th December 2016

Percentile introduces RiskMine FRTB Standardised Calculator.

London - Percentile, a provider of risk management and RegTech, has announced the launch of RiskMine FRTB Standardised Calculator, a tool which helps banks to meet the key requirements of BCBS's new market risk capital standards.

Anthony Pereira, CEO of Percentile, said: "The new FRTB requirements set a very high bar for market risk capital calculations. While banks will be able to continue to use internal models, the calculations will require about 30 times more data storage and processing capacity, and will have to be done daily, at trading desk level. The standardised approach is less computationally intensive but complex enough to warrant a non-spreadsheet solution. We developed the Standardised Calculator, which will be part of our complete RiskMine FRTB solution, by working in collaboration with clients and industry experts."

Pereira added: "Although the deadline of 2019 seems a long way off, the regulation is complex and our solution will allow our clients to fully meet regulators' expectations with confidence. This allows firms to concentrate on the more onerous assessment of internal models."