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Data mapping and getting historical time series data are among the challenges banks face in conducting calculations necessary for FRTB. But they have help.
Right now, risk managers across the world are crunching an endless stream of numbers—and perhaps at the same time popping an endless stream of aspirins—as they scramble to prepare for the implementation of the long-awaited Fundamental Review of the Trading Book. FRTB was first introduced by the Basel Committee on Banking Supervision (BCBS) in the aftermath of the 2008 global financial crisis.
NeoXam’s FRTB module has mapping rules that translate all the values a bank would get from the data vendors into values that were prescribed by the regulator.
For example, a regulator has a bucket for emerging and developed markets, but that’s not something that every data vendor provides. Often, they’ll just give the actual exchange. NeoXam does the mapping between the exchanges that are developed markets and the ones that are emerging markets. To put that visually, it’s “basically a lot of mapping tables where you might have the codes that you get externally on the left side, and the codes that need to be used for the buckets on the right side, and then the definition of how that gets mapped,” Tim Versteeg, Asia-Pacific managing director at NeoXam says.
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