Successful FRTB implementation at leading Nordic investment bank

As the deadline for reporting of SA-FRTB is nearing, Algorithmica is pleased to announce yet another successful implementation project of its multi-functional risk management platform ARMS, and more specifically the SA-FRTB set of sensitivity and aggregation metrics needed for the trading book positions.

Algorithmica started developing a complete suite of FRTB modules back in 2014, going through all the QIS:s required by EBA and developing a complete solution based on ARMS high performance analytics engine. The idea was to use the existing position repository and adding the FRTB regulatory framework on top to handle both intra-day and end-of-day reporting.

Algorithmica’s solution handles both SA-FRTB as well as the Internal Model (IM-FRTB) approach using the same implementation. A further novelty was the development of the “federated model” in which trading systems could provide and override ARMS internal sensitivity calculations to sharpen PnL attribution and alignment with front-office analytics as needed.

For customers using ARMS SA-FRTB module there will be no need to configure and implement FRTB specific interest rates and credit risk curves or volatility surface nodes to perform issuer specific sensitivity calculations. Our concept of creating ghost risk factor nodes mirroring the FRTB risk factor set will handle all such administrative task using automated mappings.

On this particular project we are very happy to work with Nadjalin Enterprises AB as specialist implementation partner.

Alexander Nadjalin says, “Implementation of Algorithmica’s FRTB module at this leading investment bank has been straight forward for two main reasons. First, to avoid quite severe regulatory punishment, it is crucial to have the market and descriptive data required to complete the FRTB calculations readily at hand. Data retrieval, quality assurance and storage are simple by using Algorithmica’s History Server. Second, the FRTB module is completely integrated with the bank’s risk system ARMS, eliminating the traditional approach of exporting risk data to a stand-alone FRTB implementation. The amount of time this saves for the project is invaluable.”

For more information about Algorithmica’s ARMS market- and counterparty risk platform with regulatory model overlays for Solvency II, IRRBB and FRTB please contact Robert Thorén, Head of Risk Solutions.