Bank Vontobel Selects Numerix for FRTB Solution
Numerix, the leader in risk technology, today announces that Swiss-based Bank Vontobel has successfully completed an in-depth FRTB-SA quantitative impact study (QIS) leveraging Numerix FRTB for early stage decision making and capital optimization. After the successful QIS, the bank has committed to a multi-year deal leveraging Numerix FRTB in production.
“From our perspective, the project leveraging Numerix for FRTB-SA has been a success. Analyzing and optimizing trading desk structures with the Numerix solution has enabled us to have a closer view in to more efficient and effective ways to manage our capital,” said Ata Tisli, Head of Market and Counterparty Risk at Bank Vontobel. “As a result of the successful QIS, we have decided to implement Numerix FRTB in production.”
The revised framework for FRTB compliance, published by the Bank of International Settlement (BIS), will now take effect as of January 1, 2023, after BIS's deferral by one year in response to the impact of Covid-19 on the global banking system. However, Bank Vontobel was operating under the assumption of a January 1, 2022 deadline, and with this timeline, it was necessary to implement and test new technology systems by the end of 2020 to ensure they could accommodate the bank's needs.
“With Numerix, Vontobel can confidently understand what trading desk configurations and model choices will work best for its business under FRTB. This early stage assessment for FRTB-SA is empowering the bank to make strategic decisions enabling it to view FRTB not as a regulatory headache, but as an opportunity to be proactive, experience positive PnL impacts and achieve a competitive advantage,” said Steve O’Hanlon, CEO of Numerix.
The goal of the project was to assess the impact of FRTB-SA on a desk level, observing the credit drivers and capital effects to determine which desks would be most effective under the new regulation. Wanting to address its structured products and exotic structures under the new regulation, the bank was seeking a cloud solution that was quick to implement, required minimal IT resources and capable of generating fast and accurate calculations for achieving maximum capital efficiency.
Numerix FRTB cloud-based SaaS deployment enables quick time-to-market for integrating into existing IT infrastructures. Scalability of the cloud calculates daily capital numbers in minutes instead of hours. The intuitive out-of-the-box workflow is designed for automation of daily processes with a task list for loading data, running calculations and producing reports. The solution also offers flexible market data options where users can import their own market data or connect to standard market data packages.
About Numerix
Numerix is the leading provider of innovative capital markets technology applications and real-time intelligence capabilities for trading and risk management. Committed to out-of-the box thinking and the exploration and adoption of latest technologies, Numerix is dedicated to driving a more open, fintech-oriented, digital financial services market. Built upon a 20+ year analytical foundation of deep practical knowledge, experience and IT understanding, Numerix is uniquely positioned in the financial services ecosystem to help its users reimagine operations, modernize business processes and capture profitability. For more information, please visit www.numerix.com.
