The Basel Committee on Banking Supervision has promoted a full review of the capital framework for Market Risk, with very significant impacts on Financial Institutions globally. This regulatory process began in 2012 and has not yet been fully implemented in the world’s top economies, but some elements of the standard will be entering into force in Europe during 2021.
This is a very transformational regulatory change with a profound impact on the Business of financial institutions, and involving a very considerable effort to adapt the Models, Systems, Data and Processes used in the management and calculation of the capital charge for Market Risk.
For years, Management Solutions has been working together with several of the main G-SIBs and D-SIBs in Europe and the Americas in the implementation of their FRTB programs, both in banks opting for internal models and banks staying with the standardized approach, and has also collaborated with some supervisors in this area.
Our value proposition aims to support Business, Risks and IT areas in practically all work streams necessary to achieve full regulatory compliance:
- Deployment of project offices to coordinate all action plans and carry out impact analysis.
- Support in the area of modeling, developing, implementing and validating capital calculation models under the new standards.
- Implementation of IT support architectures, both specific modules from external tools and in-house tools, having a proprietary solution for the calculation and reporting of capital under the standardized approach.
- And supporting supervisory processes, working together with Internal Models divisions both in the preparatory phases and in the data generation processes during the inspections themselves, as well as being part of the inspection teams of some of the main supervisors.