FRTB product of the 12 months: ActiveViam
FRTB Accelerator is a complete analytics platform for assembly the challenges of the Basic Overview of the Buying and selling Ebook (FRTB). Primarily based on ActiveViam’s in-memory aggregation engine, ActivePivot, it allows purchasers to sort out the info volumes and make the capital calculations required below regulation. It incorporates all of the formulation to carry out the complicated calculations obligatory for each the standardised strategy (SA) and inner fashions strategy (IMA).
ActiveViam’s FRTB resolution gives the means for computing capital costs with out forcing all knowledge to be introduced right into a single multi-asset platform or huge knowledge retailer. As an alternative, it depends on present danger engines that may be specialised for particular person asset courses to compute the required sensitivities, exposures, revenue and loss, and different elements. By integrating knowledge from these supply techniques, the platform gives a single and constant supply of knowledge for capital cost calculations. It additionally gives the power to immediately measure how a commerce will affect a e book or desk earlier than it’s executed.
Customers can run what-if situations to see the affect of transferring positions from one desk to a different or see the outcomes of transferring from the SA to the IMA, and to finish quantitative affect research. Operational instruments, together with a number of capital decomposition strategies, permit purchasers to extra exactly deploy capital.
The platform’s knowledge mannequin, dashboards and calculations might be simply prolonged. The FRTB Accelerator licence contains the supply code for the calculations, permitting purchasers to rapidly react to circumstances and make changes to the calculations if required. It additionally allows purchasers to show to regulators that they’re accountable for their calculations and that they’re clear.
ActiveViam not too long ago launched atoti, a free Python library for quants and knowledge scientists that gives a wide range of providers that may assist customers create new enterprise functions sooner and extra collaboratively and inside an ‘agile’ methodology. The providers embrace giving danger modellers the power to work extra effectively with massive datasets and to develop and check new fashions.
FRTB Accelerator might be delivered on premise, as software-as-a-service or run within the cloud to supply a cheap and rapidly carried out resolution to FRTB. It’s at present in manufacturing with a dozen purchasers, together with international banks in Asia, Europe and North America, with a number of extra initiatives below manner.
- “ActiveViam gives a versatile danger aggregation software constructed on high-performance expertise that helps corporations meet and steer regulatory capital necessities.”
- “Complete performance with a spread of pragmatic analytical and operational choices.”
- “Wonderful integration and analytic capabilities.”
- “Versatile and progressive software program, with the power to sit down excessive of present expertise.”
David Cassonnet, international head of enterprise growth, ActiveViam, says:
“ActiveViam’s FRTB Accelerator is revered amongst our purchasers for its capability to help with the big process of calculating cross-enterprise metrics wanted to fulfill the FRTB requirement. Our resolution rapidly allows banks to scale up their knowledge evaluation capabilities and obtain unparalleled efficiency. It is ready to deal with queries throughout geographies and hierarchies to supply customers with a full international image of their danger. Finally, what ActiveViam gives purchasers with is an all-in-one resolution that lets them harness all their knowledge to make fast selections, meet rules and handle danger effectively, with all the knowledge they want at their fingertips.”