Article: Augment existing infrastructure to achieve FRTB compliance quickly and cost effectively. Join our webinar for a live demo of the Razor FRTB solution.01 March 2017 | Peter Walsh
A cost effective FRTB solution which brings compliance in good time to optimise Market Risk capital consumption...
Wednesday 5th April, 15:00 GMT (10:00 EST)
This Webinar will explain how, by deploying Razor, firms will be able to speed up the time to compliance, leverage existing investments in people, technology and intellectual property and have the functionality and time to optimise their Market Risk capital consumption. Razor Risk will also provide high level demonstrations of their “off the shelf” solution that will sit between existing Market Risk and Front Office pricing tools so that the firm can maintain BAU processes whilst preparing for the Fundamental changes that BCBS 352 will require. The Webinar is targeted at all involved stakeholders, bringing together the major drivers behind Business Users (Risk Managers), Front Office Capital Consumers, FRTB Programme Managers and Technology Implementation Teams whether the firm is going for a Standardised Approach (SA) or a combination of SA and Internal Model Approvals (IMA).
Speakers will include:
Peter Walsh, from Razor Risk, is a banker by trade (ACIB) and a qualified practitioner in managing IT intensive programmes allied to a lifetime of City-based roles and experiences. His experience and knowledge of the risk measurement and management disciplines helps provide clarity; with his background in banking, regulatory compliance and risk systems he is uniquely placed to discuss and describe how technology enablers can be deployed to deliver effective and efficient solutions in the most demanding situations, including the bewildering array of regulations and changes that the FRTB will dictate.
Paolo is a Senior Implementation Consultant currently responsible for gathering business requirements and configuring Razor for clients with a particular focus on regulations. He has multiple years of experience in the software industry within the global Financial Markets and Quantitative Risk Management business areas, and holds a Msc in Mathematics from University of Pisa and another Msc in Quantitative Finance from University of Turin.
Waqar is an experienced leader of risk technology consultants with nearly 10 years of experience in Risk with specific interest and specialisation in FRTB and Counterparty Credit Risk implementations for the Banking sector. Prior to working for Razor Risk, Waqar was leading professional services teams at IBM and Algorithmics, consisting of both internal and external consultants, to deliver effective risk transformation programmes.
Bill has worked with major banks to improve their OTC processing capabilities, including with Barclays Capital as Head of OTC (ISDA) Projects, LCH.Clearnet as Head of Product Development for the SwapClear service and at DTCC to design, build and deploy the Trade Information Warehouse for Credit Default Swaps. He originally qualified at Greenwich University in Computing, and is a contributor to three books on OTC products and capital markets and the owner of The OTC Space Ltd.
The Agenda for the Webinar will include:
- A briefing on the current state of FRTB regulation and timelines
- Focus sections on key stakeholders below
- Live software demos of the working Razor Risk FRTB platform
- Interactive Q&A
For Risk Managers the questions to ask yourself are:-
- Will you be able to meet the deadlines with a solution that satisfies the regulations and gives you the flexibility and functionality to assess Market Risk Capital easily and quickly?
- Will reporting headline numbers be sufficient or will you need to be able to analyse results and drill down into the details to ensure capital allocations and risk exposures are aligned to policy as well?
For Front Office capital consumers, the Regulation is pushing control of Market Risk Capital to the Front Office. The FRTB solution your firm delivers will need to answer a range of questions:
- Can I be sure that the capital allocation is correct for the Market Risk exposures my trading has incurred?
- How can I keep a day/over day record of risk against capital?
- Given my Front Office pricing tools, market data and sensitivities drive trading, how can I make sure these are reflected perfectly within the FRTB Capital Charge?
- If we move to an IMA approach can the solution provide support for PnL Attribution testing, VaR vs. Expected Shortfall analysis, Desk Level Stress testing and daily reporting of limit breaches, Non Modellable Risk Factor problems or observability gaps?
FRTB Programme Managers, have a different set of problems to address:
- Will you hit the deadlines set by your Board?
- Does the designed solution provide the functions for meeting requirements of end users, Market Risk managers, Front Office traders, risk analysts, Internal Auditors, Compliance Officers, Bank Board and Regulators?
- Are you able to reconcile the investment with the outcomes? Are you getting Value for Money?
- Have you considered all of the options, including integrating existing systems with 3rd party applications where that speeds time to compliance?
- What happens if Plan A doesn’t work or looks like failing? Will you have time to deliver Plan B? Is there a Plan B?
- Is reaching compliance with the minimum functions the only goal? Is optimisation of Capital consumption a realistic target as well?
Technology Teams have a huge part to play in delivering a successful FRTB solution. However, are they objective enough to assess progress as well as the strategic direction the Fundamental changes will require?
- Is FRTB part of the “Change the Bank” or “Run the Bank” budget?
- Once the system is ‘built’ how will it be maintained, enhanced and flexed as the regulations and use drive changes?
- Re-developing existing systems that are not FRTB ready is costly and time consuming. What options have been considered? Would a solution that has components that can be deployed to augment existing processing be considered?
- Has the TCO been calculated yet for all in-house developments?
- Market Risk and Front Office systems need to be BAU. Can you afford to run vendor delivered re-developments and in-house “new builds” at the same time?
The Razor solution is designed to:
- Cater for all stakeholders across SA and IMA ecosystems
- Speed up the time to compliance, with full functionality
- Enable Capital Optimisation ahead of the deadlines
- Augment existing systems and ongoing developments without impeding BAU
- Provide a robust solution that can be maintained internally and flexed without the need for long-tailed consultation.
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