Traded Market Risk

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Fundamental Review of the Trading Book (FRTB) & Value at Risk (VaR) market risk management solution.

Future proof your market risk capabilities with our multi award winning Traded Market Risk management solution.
Extend full revaluation of value at risk & stress testing into FRTB compliance with full support for the standard approach (SA) & internal model approach (IMA).

As the deadline for compliance with the Fundamental Review of the Trading Book (FRTB) approaches, firms are still struggling to deal with the complexity of the guidelines. Traded Market Risk from S&P Global supports compliance with the Basel market risk requirements by providing a hosted service that combines our market-leading data with cutting-edge analytics. Supported by our team of trusted subject matter experts, we can help you reduce the impact, cost and complexity of FRTB projects.

What can you expect from our solution?

Comprehensive VaR & ES calculation across all asset classes and trade types
Supports Monte Carlo and Historical VaR with full revaluation of the portfolio
Sensitivity analysis and Stress Testing configured through a highly intuitive interface
Supports regulatory and market risk requirements
Available on the cloud, deployed or as-a-service

Learn more about Traded Market Risk

Ready for FRTB? Explore our IMA and SA solutions

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Case study: Read how IMA banks accelerated their FRTB deliverables with Traded Market Risk from S&P Global.

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FRTB Modellability Service

The FRTB Modellability Service from S&P Global Market Intelligence helps banks satisfy FRTB RFET requirements and avoid punitive capital charges by transforming raw market data into compliant risk factors.

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FRTB SA Service

Fast track your regulatory compliance with our FRTB-SA service. Provide your trading book portfolio and we’ll do the rest. Our service delivers fast performance as calculations are performed on our multi-asset risk engine fueled by our best-in-class market data.

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VaR / Expected Shortfall

Future proof your market risk capabilities with our Traded Market Risk solution that provides comprehensive VaR & ES calculations across all asset classes and trade types. Supports Monte Carlo and Historical VaR with full portfolio revaluation.

Learn More >

Benefits of our Traded Market Risk solution

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Compliance for SA and IMA

Improve capital management and visibility for compliance with global and regional regulatory requirements

Trusted Data, Analytics and Expertise

Gain unique insights with our curated data and analytics combined with your internal or third-party data

Cloud compatible across major providers

Pay only for what you use with technology built to scale up or scale down depending on your needs

Reduce Total Cost of Ownership (TCO)

Leverage our platform’s turnkey capabilities and project acceleration track-record without sacrificing flexibility

Empower and accelerate decisions

Access calculation capabilities to assess the capital impact of new trades, model assumptions or changing market conditions on the fly.

Awards Received

Content

Related FAQs

What is FRTB?

The Fundamental Review of the Trading Book (FRTB) refers to a comprehensive restructuring of market risk regulatory capital requirements published by the Basel Committee on Banking Supervision (BCBS) between 2016 and 2019 in response to the financial crises.

After a few iterations since 2016, BCBS published the final version of the framework in January 2019, and local regulators are starting to release their final translation of FRTB into local law.

With FRTB, banks will have to comply with new rules by 1 January 2023, but a lot of retro planning, implementation and model validation work as well as regulatory approval is required in order to publish official capital numbers by this date.

Banks operating trading books will have to confirm to their respective supervisory authorities whether they wish to pursue a Standardized Approach (SA) calculation or obtain approval for an Internal Model Approach (IMA) for each desk in scope.

What is the difference between FRTB and previous regulations?

FRTB introduces a number of changes for market risk capital requirements including stricter boundaries between the bank’s Trading and Banking Book allocations (i.e. for active trading vs. held to maturity) and fewer possibilities to move trades between them.

Instead of a top-of-the-house model approval, banks will have to seek approval at the level of each Regulatory Trading Desk as well as calculating consolidated capital requirements either under the Standardized Approach (SA) or the Internal Model Approach (IMA).

Risk Factors to be included in IMA calculations will need to be evidenced as derived from sufficiently observable or liquid instruments (thereby becoming “modellable”), else banks will have to calculate a Stressed Expected Shortfall (SES) add-on for them instead.

The IMA framework also switches from the usual Value at Risk (VaR) metric to an Expected Shortfall-based risk measure based on the risk type and associated liquidity horizon.

In addition, eligible desks will need to demonstrate they pass not only back testing requirements but also a Profit & Loss (P&L) Attribution test designed to reduce any gaps between front-office and risk models which will often increase risk factor granularity compared to existing VaR models.

Failing these criteria, desks will have to fall back to the new Standardized Approach which although still based on close-ended sensitivity-based calculations, still increases in complexity and requires implementation changes.

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Traded Market Risk

Fundamental Review of the Trading Book (FRTB) & Value at Risk (VaR) market risk management solution.

FRTB Modellability Service

FRTB SA Service

VaR / Expected Shortfall

Benefits of our Traded Market Risk solution

Compliance for SA and IMA

Trusted Data, Analytics and Expertise

Cloud compatible across major providers

Reduce Total Cost of Ownership (TCO)

Empower and accelerate decisions

Awards Received

Related FAQs

Related financial services products you may be interested in

XVA

Counterparty Credit Risk

Buy Side Risk

Watch our related videos

Related financial services thought leadership

S&P Global Market Intelligence Wins Best FRTB Solution in Regulation Asia Awards

Basel III Endgame - Or the prologue to a New game?

Basel III endgame arrives: Preparing for FRTB in the US

FRTB: 6 reasons to consider adopting the Internal Model Approach

Navigating the Challenges and Nuances of Hedging in SA-CVA

S&P Global Market Intelligence wins Waters Sell-Side Technology Awards 2023

How can banks reduce regulatory risk capital in volatile markets?

FRTB - The (in)stability of Modellability in the Fixed-Income and FX markets

Navigating Tail Risks in the New Decade Using Value at Risk

LIBOR Transition and FRTB Modellability

FRTB Roundtable: what you may have missed in our virtual roadshows

Traded Market Risk

A collection of thought leadership

FRTB: Data quality requirement and implementation plan

FRTB: She (or he) who masters the data masters

FRTB: Is time still on your side?

Four Key Takeaways from our New York FRTB Summit

Five Key Takeaways from our London FRTB Summit

Final FRTB text: Is the light finally green for modellability?

FRTB: The road to IMA

RiskMinds 365 Interview

FRTB Decision-Making: The Data Quality Paradigm

FRTB: A collection of thought leadership articles

FRTB Readiness Report: A survey of global banks

To D or not to D – is Annex D really a new FRTB requirement?

The long-awaited Q1 FRTB Consultation Paper: Is change the only constant?

Forgotten but not gone: NMRF proxies and the struggle for accurate QIS and capital efficiency under FRTB

RiskMinds 365 interview

FRTB and the Upcoming Renaissance in Market Risk Management

The P&L attribution test - going, going, gone?

Introducing the Markit Modellability Model for FRTB

FRTB-CVA: Are you ready for the next piece of the FRTB puzzle?

FRTB Markit Modellability Model: Preliminary Results

FRTB: Sparking new approaches for big data analytics

FRTB: the Scrooge of Christmas?

FRTB webinar: Modellability in focus

Solving the FRTB Puzzle

FRTB: The capital impact of proxy choice

FRTB: What makes a price real?

FRTB accentuates the need for good, clean data