Journal #49: ALTERNATIVE CAPITAL MARKETS

AN IMPLEMENTATION FRAMEWORK TO GUIDE SYSTEM DESIGN IN RESPONSE TO FRTB REQUIREMENTS

OLIVIER COLLARD | Principal Consultant, Capco
CHARLY BECHARA | Director of Research & Innovation, Tredzone
GILBERT SWINKELS | Partner, Capco

The changes that must be made to a bank’s infrastructure to implement the fundamental review of the trading book (FRTB) standards are transformational. The data and process requirements are such that pricing platforms need a complete overhaul to meet performance and latency goals. 

Complying with FRTB requires a significant rework of the front-to-back trading infrastructure to cope with: 

  • Orders of magnitude
  • Increases in the number of computations
  • An equally massive increase in volumes of data consumed and produced
  • And a need to harmonize the use of pricing and risk data and models across a complex process chain

This article presents a viable design process, and the supporting framework, to fully leverage today’s multi-core environments, be it cloud or otherwise.