Fundamental Review of the Trading Book product of the year: Opensee

Fundamental Review of the Trading Book product of the year: Opensee

The amount of data and sophistication of analytical capabilities required by financial institutions continues to increase with the ever-expanding regulatory requirements in risk monitoring and regulatory reporting. In particular, data aggregation requirements have intensified with the complexity of calculation methods under the Fundamental Review of the Trading Book (FRTB) rules.

To calculate capital under FRTB, banks use a standardised approach (SA) or an internal models approach (IMA), and there are many new complexities for these methods. Compared with previous capital calculation, FRTB SA calculation has become much more sophisticated, and the increase in data volumes for IMA calculations is substantial for storage and analysis. There are also data management challenges, such as the use of proxy data and managing rules across multiple jurisdictions.

A thorough understanding of the regulatory and business consequences of adopting an SA or IMA (and the various calculations required by these) has allowed Opensee to create technology for use as a core tool in the FRTB framework. The platform provides financial institutions with self-service data analytics solutions to accurately calculate market risk under the FRTB rules and manage the higher volumes of data.

In the current volatile markets, interactivity and real time are critical features for a thorough understanding of complex FRTB calculations. Opensee’s platform allows financial institutions to aggregate and analyse large datasets and leverage the most granular level of information and most relevant historical data in real time.

The use of preconfigured Python calculators means the solution is easy to implement and can be operated in software-as-a-service, without the usual compromises on flexibility and the reliance on developers. Users can keep full control of the business intelligence, customise the calculations embedded in the solution and create their own metrics. Likewise, Opensee’s disk-based engine can significantly reduce hardware costs. The ‘what-if’ scenarios enable users to simulate and manage any FRTB impact at greater speeds.

Opensee has further expanded the product’s functionalities in the past year. The launch of a web-based user interface has been a key development to data visualisation. And there are new implementation options that consider the various approaches of regulators around cloud migration. To enable compliance with data hosting regulations, while improving financial and regulatory reporting, Opensee has developed a hybrid infrastructure, combining cloud, multi-cloud and on-premises datasets.

Finally, data model definition, data ingestion and restitution have been recently improved. These are often among the most significant bottlenecks for new databases. With Opensee, the complexity is abstracted from the users, who can then focus solely on the business logic. In terms of analysis and restitution, a set of algorithmic approaches is natively embedded.

Judges said:

  • “Top-notch data management capabilities – an important prerequisite for FRTB compliance.”
  • “Encouraging endorsement from Societe Generale.”
  • “Great submission.”

Stéphane Rio, chief executive and founder at Opensee, says:

Stéphane Rio, Opensee

“It is a true honour to be recognised by the prestigious judges as FRTB product of the year, which highlights our expertise and the innovation of our solution. The timing cannot be better, as the approaching effective date is incentivising banks, not only to calculate but to analyse the results historically and granularly. Our clients can use their data models with no constraints, while leveraging our International Swaps and Derivatives Association-approved FRTB calculations, and configure it or create their own extra metrics.”

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