Markit FRTB Studio performs capital calculations for a million trades in seconds

Markit FRTB Studio performs capital calculations for a million trades in seconds
14.12.2016 04:15 pm

Markit FRTB Studio performs capital calculations for a million trades in seconds

Trading Systems

IHS Markit (Nasdaq: INFO), a world leader in critical information, analytics and solutions, today announced that Markit FRTB Studio, an aggregation and capital analytics engine, has processed a portfolio of one million trades in single digit seconds on a European bank’s Hadoop infrastructure as part of a successful proof-of-concept. This high-speed performance enables banks to understand the capital implications of business decisions in near real-time in relation to the Fundamental Review of the Trading Book (FRTB) standards.

Part of IHS Markit’s broader FRTB Solution, FRTB Studio is built on big data technology and can be used as a standalone component, integrating easily with banks’ existing risk management infrastructure. The European bank was up and running on FRTB Studio in just two days. Front office and risk teams are using the aggregation and capital analytics engine to assess – almost instantly – how decisions relating to P&L attribution (PLA), desk restructuring and modellability impact their capital charges.

“The financial industry stands at the next frontier of adopting emerging technologies around big data, artificial intelligence and machine learning,” said Cubillas Ding, research director, finance and risk practice at Celent. “All of these technologies, in the context of FRTB, can result in augmented delivery of risk analytics, stronger data supply chains and innovative IT models at performance and cost frontiers previously not possible.”

“Markit FRTB Studio can calculate the capital charges for a Standard and Internal Model Approach (SA and IMA) in mere seconds based on a portfolio of one million trades,” said Andrew Aziz, global head of Markit Analytics at IHS Markit. “We are able to integrate FRTB Studio with banks’ existing valuation engines, enabling firms to perform all FRTB capital calculations at scale and speed, and most importantly, on a highly cost-effective technology.”

As firms look to manage growing costs, Markit FRTB Studio enables banks to reuse existing valuation engines, either home-grown or vendor supplied, to produce the required inputs for consistent aggregation and capital calculation, without having to build that capability in-house.

Benchmarks show FRTB Studio can support the capital charges for IMA and SA in single digit seconds based on a portfolio of one million trades with 9 million sensitivities, 18 million P&L vectors and on hardware costing just USD20k.

FRTB Studio can be implemented as a single component or as part of IHS Markit’s broader solution for FRTB

Related News

thinkFolio and Investor Access advance fixed income primary market workflow

thinkFolio, a leading multi-asset class investment management platform... Read more »

Asset Control and Finmechanics Unveil an Integrated Solution to Accelerate FRTB Implementation and Boost Operational Efficiency

Asset Control and Finmechanics have announced a new technology partnership to provide banks with an accelerated approach to The Fundamental Review of the Trading Book (FRTB)... Read more »

Diginex launches becoming the first digital asset exchange listed in the United States

Diginex announced the public launch of its digital asset exchange, built to institutional-grade specifications and designed to improve the experience... Read more »

The Derivatives Service Bureau Extends Global Participation in Technology Forum

The Derivatives Service Bureau (DSB), founded by the Association of National Numbering Agencies (ANNA) to facilitate the allocation and maintenance of International Securities... Read more »

corfinancial: Salerio client Baillie Gifford goes live with futures

corfinancial, a leading provider of specialist software and services to the financial services sector, reports that Edinburgh-based investment manager ... Read more »

Free Newsletter Sign-up
+44 (0) 208 819 32 53 +44 (0) 173 261 71 47
Download Our Mobile App
Financial It Youtube channel