The client, a global tier one investment bank, was looking for a strategy and implementation partner for both their standard approach (SA) and internal models approach (IMA) efforts. The book of work for SA included managing the creation, validation, and automation of sensitivity models; directing the migration from legacy risk models to strategic solutions for multiple fixed income products (including structured products); and creating a product taxonomy for documentation of model compliance and ongoing regulatory reporting. IMA-related efforts included longer term strategic priorities such as creating the taxonomy, processes, and procedures for the systematic storage of market data and supporting front office technology in the creation of a strategic risk platform for full portfolio revaluation.
The client was approaching the implementation of the Fundamental Review of the Trading Book (FRTB) by prioritizing an enhanced risk management platform using a strategic capital usage assessment. Their platforms were challenged with siloed, product-oriented front office architecture requiring alignment for relevant data including strengthening historical data repositories and aligning to risk factor usage. Capco was able to support the client with managing changes to the regulatory framework as the industry responded and adapted to the proposed guidelines.
As the program ramped up into a multi-year strategic roadmap for change, Capco lead the efforts to implement compliance for mandatory FRTB standard approach enhancements as well as enhancements to their internal models within the regulatory deadlines by:
Capco led the program and implemented compliance for mandatory FRTB standard approach enhancements within regulatory deadlines. As part of the deliverables, internal models were migrated onto a strategic risk technology platform with business enhancements and the program implemented a cross-product data strategy and architectural solution for strengthening market data.
Capco capabilities and accelerators used to add value to the program included: