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.