As part of the fundamental review of the trading book (FRTB), new rules for measuring market risk are currently being introduced by the Basel Committee for Banking Supervision. These rules will cause major changes in market risk management and also require all banks to calculate the new standardized approach, either as their market risk model or in parallel to an internal model. The on-going quantitative impact study (QIS) defines the sensitivity-based standardized approach (SBSA) that should be used.
BearingPoint offers a new software solution to support the SBSA QIS calculation by providing precon-figured reports, quality assurance and analysis capabilities. The Standardized Approach Market Risk (SAMR) software solution uses sensitivities and basic instrument information as input and conducts the required calculations by using stable and transparent netting, aggregation and calculation methodology.