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SAS® Capital Requirements for Market Risk

A comprehensive view of risk, efficient FRTB compliance.

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Efficiently comply with the Basel Committee's overhaul of the market risk regulatory capital framework – the fundamental review of the trading book (FRTB). Prebuilt modules for both the Standard Approach (SA) and Internal Model Approach (IMA), plus other risk measures defined by FRTB, ease your path to compliance. And a comprehensive view of market risk helps you increase transparency, reduce operational costs and make better-informed decisions.

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Gain a comprehensive view of market risk.

Get an enhanced view of risk across legal entities, trading desks and risk classes. Easy-to-use dashboards let you continuously monitor the effects of the new Basel III minimum capital requirements for market risk on your capital and balance sheets. You can simulate various trading desk allocation strategies, then compare results across multiple dimensions. Out-of-the-box SAS Visual Analytics reports make it easy to evaluate different scenarios to determine your optimal desk structure, and to monitor the evolution of capital requirements across multiple dimensions.

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Adapt as needs change. 

Quickly adapt to regional variations and changing regulatory interpretations of FRTB. Our modular architecture lets you customize parameters and modify the analytics at any point in the workflow. An input data model and support for industry-standard APIs let you extract, integrate and validate risk data from nearly any internal or third-party source – market data providers, trade capture systems, clearing systems, etc. And customizable, easy-to-understand process flows let you visualize analytical operations, as well as analyze and trace the input and output of each step.

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Ensure data quality aligned with BCBS 239.

Embedded data quality controls – including rules for handling bad data, unclassified data or data not fitting the model – are preconfigured and can be modified to meet individual user needs. A visual dashboard enables continuous monitoring of data quality for both input and output data so you can quickly identify and address issues to adhere to BCBS 239 principles.

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Get up and running fast while reducing operational costs.

Get powerful FRTB functionality right out of the box. Prebuilt modules with embedded quality controls, workflows and prescribed standard calculations – along with user-friendly input interfaces – get you on the path to a modernized market risk management infrastructure and FRTB compliance quickly. Because we update our library of preconfigured templates continuously using intellectual property derived from completed risk projects, you’ll be at the forefront of better risk management and faster, easier compliance.

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Features

  • Market risk analytics. Provides prebuilt models for calculating SA and a framework for developing a customized IMA.
  • Intraday trading risk analysis. Enables in-memory calculations for a wide range of what-if scenarios and the ability to run up to thousands of intraday simulations.
  • Visual workflow management and monitoring. Enables easy visualization of analytics operations, process flows and management reporting, including risk capital at various hierarchical levels.
  • Integrated data management. Provides an input data model, and lets you extract, integrate and validate data from almost any source. Also accommodates industry-standard APIs, including support for the ISDA-SIMM Common Risk Interchange Format (CRIF).
  • Embedded data quality controls. Ensures results based on correct inputs, and aligns with BCBS 239 guidelines.
  • Risk reporting. Includes a wide range of preconfigured production reports and simulations with the ability to monitor the evolution of capital requirements across multiple dimensions.
Full Features List
System Requirements

Recommended Resources

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Read the SAS Capital Requirements for Market Risk fact sheet.

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