Risk Markets Technology Awards 2021: FRTB product

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FRTB product of the year: ActiveViam

David Cassonnet, ActiveViam
David Cassonnet, ActiveViam

FRTB Accelerator is a comprehensive analytics platform for meeting the challenges of the Fundamental Review of the Trading Book (FRTB). Based on ActiveViam’s in-memory aggregation engine, ActivePivot, it enables clients to tackle the data volumes and make the capital calculations required under regulation. It contains all the formulas to perform the complex calculations necessary for both the standardised approach (SA) and internal models approach (IMA). 

ActiveViam’s FRTB solution provides the means for computing capital charges without forcing all data to be brought into a single multi-asset platform or massive data store. Instead, it relies on existing risk engines that can be specialised for individual asset classes to compute the required sensitivities, exposures, profit and loss, and other factors. By integrating data from these source systems, the platform provides a single and consistent source of information for capital charge calculations. It also provides the ability to instantly measure how a trade will impact a book or desk before it is executed.

Users can run what-if scenarios to see the impact of moving positions from one desk to another or see the results of moving from the SA to the IMA, and to complete quantitative impact studies. Operational tools, including several capital decomposition methods, allow clients to more precisely deploy capital.  

The platform’s data model, dashboards and calculations can be easily extended. The FRTB Accelerator licence includes the source code for the calculations, allowing clients to quickly react to circumstances and make adjustments to the calculations if required. It also enables clients to prove to regulators that they are in charge of their calculations and that they are transparent.

ActiveViam recently launched atoti, a free Python library for quants and data scientists that provides a variety of services that can help users create new business applications faster and more collaboratively and within an ‘agile’ methodology. The services include giving risk modellers the ability to work more efficiently with large datasets and to develop and test new models.

FRTB Accelerator can be delivered on premise, as software-as-a-service or run in the cloud to provide a cost-effective and quickly implemented solution to FRTB. It is currently in production with a dozen clients, including global banks in Asia, Europe and North America, with several more projects under way. 

Judges said:

  • “ActiveViam provides a flexible risk aggregation tool built on high-performance technology that helps firms meet and steer regulatory capital requirements.”
  • “Comprehensive functionality with a range of pragmatic analytical and operational options.”
  • “Excellent integration and analytic capabilities.”
  • “Flexible and innovative software, with the ability to sit over the top of existing technology.”

David Cassonnet, global head of business development, ActiveViam, says:

“ActiveViam’s FRTB Accelerator is revered among our clients for its ability to assist with the enormous task of calculating cross-enterprise metrics needed to meet the FRTB requirement. Our solution quickly enables banks to scale up their data analysis capabilities and achieve unparalleled performance. It is able to handle queries across geographies and hierarchies to provide users with a full global picture of their risk. Ultimately, what ActiveViam provides clients with is an all-in-one solution that lets them harness all their data to make quick decisions, meet regulations and manage risk efficiently, with all the information they need at their fingertips.”

 

Read more articles from the Risk Markets Technology Awards 2021 winners’ review

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