About
ActiveViam’s FRTB SA QIS is a cloud-based service for the FRTB Quantitative Impact Study (QIS) exercise.
FRTB SA QIS enables a bank or other financial institution to calculate their total SA Capital Requirement in line with the FRTB specifications in BCBS 457.
The solution computes capital charges for the Standardised Approach (SA) in line with the regulation: the Sensitivities Based Method (SBM), default risk charge, and residual risk add-ons.
FRTB SA QIS and Atoti FRTB
FRTB SA QIS offers a subset of features from Atoti FRTB:
| Feature | FRTB SA QIS SaaS | Atoti FRTB |
|---|---|---|
| Deployment type | SaaS | SaaS or customized Cloud/On-Prem* |
| Compliance with BCBS 457 | SA | SA and IMA |
| Compliance with FRTB ISDA Unit Tests | ||
| Capital allocation and incremental analysis | ||
| Input data file formats | CSV (incl. CRIF) | CSV (incl. CRIF) if SaaS* |
| Predefined dashboards for verifying data loading, validating analytics, and QIS reporting | ||
| Predefined dashboards for IMA (incl. ACR, PLAT & backtesting, and stress period calibration) | ||
| Predefined dashboards for what-if analysis, day-to-day analysis, capital allocation, and multiple jurisdictions | ||
| What-If analysis | ||
| Management of multiple sets of risk-weights, correlations, and other parameters defined in BCBS 457 | ||
| Support for multiple jurisdictions at the same time | ||
| Support for multiple business days including trend analysis | ||
| Support for multiple reporting currencies | ||
| Persisting custom bookmarks | ||
| Source code delivered | Optional, for customized deployments* | |
| Extendable data model and calculations | Optional, for customized deployments* | |
| Potential for integration with the Sign-Off and Limits Modules |
*Contact us for details on customization options.