With the objective of improving the design and coherence of capital standards, the FRTB framework issued by the Bank for International Settlements has introduced fundamental changes in the capital calculation process. Banks are now required to make a significant investment in models and technologies to comply with changes by the end of 2019.
Oracle's capabilities in financial risk, data management and regulatory reporting, underpinned with deep expertise and analytics from Numerix, will enable financial institutions to meet these new FRTB framework challenges effectively. The collaboration will employ Numerix solutions for mark-to-market, Greeks, market risk and counterparty credit risk. Key features of the offering include:
- Comprehensive cover of all FRTB requirements, including profit and loss attribution, back-testing, risk factor identification, stress period identification and risk computations
- Pre-configured methods for computing expected shortfall, CVA capital charge, default risk charge, stress expected shortfall and standardized approach
- Industry-standard library of models and methods, spanning all asset classes (fixed income, equities, FX, credit, commodities, energy, inflation and hybrids)
- Full integration with OFSAA's data foundation and reporting capabilities
"At Numerix we're proud of the diverse and dynamic ways that the Numerix model library and pricing architecture is integrated into other systems, such as Oracle's. Combined expertise across the financial services industry ensures end users have the most comprehensive suite of capabilities at their fingertips," said Steve O'Hanlon, CEO of Numerix. "As one of the industry's most sophisticated model and pricing library, Numerix technology can easily be used in a wide range of solutions including for FRTB compliance. We're proud to support Oracle with our world class analytics as they expand their capital markets applications and risk reporting solutions for FRTB."
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Numerix is the leading provider of innovative capital markets technology solutions and real-time intelligence capabilities for trading and risk management. Committed to out-of-the box thinking, the exploration and adoption of latest technologies, Numerix is dedicated to driving a more open, fintech oriented, digital financial services market. Built upon a 20+ year analytical foundation of deep practical knowledge, experience and IT understanding, Numerix is uniquely positioned in the financial services ecosystem to help its users reimagine operations, modernize business processes and capture profitability. For more information please visit www.numerix.com.
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