Today’s regulatory requirements, particularly the Fundamental Review of the Trading Book (FRTB), are introducing sweeping changes to market risk management, reinventing the way risk is measured, with significant consequences for the required market data and its quality, for both the internal model approach (IMA) and the sensitivity based approach (SBA).

Asset Control’s AC Risk Data Manager brings a new level of control to the management of critical risk data, reducing the time required to integrate new risk factors and providing the foundation for a common data infrastructure. Developed in consultation with its global client base, AC Risk Data Manager will allow institutions to address the key market data requirements of FRTB through data model extensions and business rules. AC Risk Data Manager’s time series management is equally applicable to stress testing regulation and Independent Price Verification requirements.
Specific FRTB market data management requirements include:

• Screening and completing time series histories
• Checking consistency between front and middle office data
• Managing stress scenarios by appropriately shocking risk factors
• Configuring and monitoring proxy rules
• Casting a wider net when sourcing market data by integrating with trading systems and trade repository data to meet ‘real prices’ requirements and prove risk factor modellability
• Assigning risk categories and liquidity horizons as per the Basel classification

Martijn Groot, VP Product Management at Asset Control, comments:
“Given the scale of change, it is critical that institutions start assessing what process and system changes are needed in order to address FRTB today. A structured market data management process is required – from efficient sourcing and integration, to risk factor mapping, proxy rule management, and the tracking of quality metrics.”

“Institutions with such a market data infrastructure will reap benefits beyond just FRTB compliance. With our latest enhancements to AC Risk Data Manager, we further strengthen our clients’ ability to deal with the complex and critical area of risk data, allowing them to stay on top of stringent regulatory demands and providing them with a platform for efficient distribution of verified market data across their organisations.”