Oracle Financial Services Analytical Applications (OFSAA) has announced a collaboration with Numerix, provider of innovative capital markets technology, to develop and bring to market solutions that enable financial institutions to comply with the Fundamental Review of the Trading Book (FRTB).
The offering implements complementary solutions from both Numerix and Oracle to effectively meet the regulatory and business challenges accompanying the new FRTB framework.
"By working with Numerix, we are able to offer the best of both worlds: a comprehensive solution that helps financial institutions meet the computational and business challenges in FRTB compliance," explains Ambreesh Khanna, Group Vice President and General Manager for Oracle Financial Services. "To develop the highest quality solutions for our customers, Oracle always seeks to work with the best and brightest."
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."