Investment Bank

FRTB Change Programme

When a leading Investment Bank wanted a Consultancy that could be trusted to define and stand up a new change programme to help ramp up analysis for FRTB but with proven SME experience within these types of programmes

The Ask

Our client needed to quickly ramp up the Analysis workstream of its FRTB programme to be able to run Quantitative Impact studies and assess the business impact of the FRTB regulation. MW Partners was asked to provide a team of consultants who had experience in FRTB and a combination of SME expertise across all asset classes (Equities, FX, Rates, Credit) and quant analysis skills.

The Solution

MW Partners provided the team of professionals driving the execution of the program. Key deliverables included: 

• Updating and enhancing inventory of inputs into QIS and help to build dependency tree with owners and timing
• Developing rules to validate input data and intermediate results coming from QIS calculation process
• Developing or enhancing processes to determine supplemental data required for QIS that is not part of the current market risk framework
• Validating changes to the book hierarchy and determine which books to include in the QIS reports to support required analysis
• Comparison of VaR and stressed VaR from current VaR model (monte carlo based) and hist sim VaRx

The Outcome

Enabled our client to ramp up quickly and meet internal deadlines whilst providing a team with expert knowledge and experience. This enabled our client to get a good understanding of the impact of FRTB and to ‘educate’ the business and senior management for early engagement and buy in