What is the FRTB Accelerator?
In a Nutshell...
ActiveViam's FRTB Accelerator offers a generalised use case that supports the FRTB Standard Approach and Internal Models Approach as per the BCBS 352 specifications (January 2016). This is the result of regulatory monitoring, client consultations, and development work.
BCBS 352 is the specification published by the Basel Committee on Banking Supervision (BCBS) as its Standards for Minimum Capital Requirements for Market Risk; also known as the Fundamental Review of the Trading Book (FRTB). These new standards replace parts of the Basel 2.5 reforms, which were introduced in 2009 to address the material undercapitalisation of trading book exposures during the 2007-08 financial crisis.
ActiveViam Accelerators are projects that contain business logic, implementation best practices and software code to enable a faster time-to-market and help clients confidently address use cases such as regulations.
They are built on and require:
- ActivePivot
- ActiveMonitor
- ActiveUI
Features at a glance
For details of the latest updates incorporated in this version of the Accelerator, see Release notes
Customizing the Accelerator
The Accelerator is designed to be open and extendable. It is delivered as source code with documentation and is organised into two logical blocks: the Core and Reference implementations.
- FRTB Core - Includes post processors and source code. We expect little or no customisation to be required here.
- FRTB Reference implementation - Includes a suggested data model, an ETL layer and a suggested cube definition which includes dimensions, hierarchies, levels and measures.
For more information, see Customising the FRTB Accelerator .
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