Regulatory Capital Calculation Product of the Year – S&P Global
S&P Global Market Intelligence’s Traded Market Risk Solution – Analysis
This document details S&P Global Market Intelligence’s Traded Market Risk Solution, recognized with the Regulatory capital calculation product of the year award at the Risk Technology Awards 2025. The solution assists banks in navigating the complexities of the Basic Review of the Trading Book (FRTB) implementation.
1.Context: FRTB & Market Risk Infrastructure
* Banks are under pressure to improve market risk infrastructures and validate risk models due to the ongoing implementation of the FRTB across major jurisdictions.
* FRTB introduces stricter rules for the Internal Models Approach (IMA), profit-and-loss attribution, and the ‘modellability’ of risk factors.
* This has raised the bar for regulatory capital calculation.
2.Solution Overview: Traded market Risk Solution
S&P Global Market Intelligence’s Traded Market Risk Solution aims to reduce the implementation burden of FRTB by providing support for:
* Standardised Approach (SA)
* Internal Models Approach (IMA)
This allows banks to analyze the trade-offs between regulatory compliance and capital optimization in real-time.
3. Key Capabilities
The platform offers a complete suite of capabilities:
* Modellability Assessment: Combines real-price observation data with configurable analytics to assess if risk factors meet FRTB modellability thresholds. Used by both banks and regulators.
* Scenario Generation: Supports historical pricing time-series creation, proxy selection, and gap-filling – crucial for compliant stress-testing frameworks. Includes a scripting language for flexibility and governance.
* Capital Analytics: Provides a complete view of capital requirements across desks and at a group level. Supports drill-down analysis and integrates with existing pricing/risk infrastructures. Enables SA vs. IMA comparative analyses.
* Stress-Testing: facilitates robust stress-testing frameworks.
4.Judges’ comments (Risk technology Awards 2025)
The judges highlighted the following strengths:
* “Good, strong product.”
* “The product is well utilised in the market.”
* “Built on sound risk management principles.”
5. Data Enhancements
S&P Global Market Intelligence has expanded its datasets, including enhanced real-price observations across:
* Interest Rate
* credit
* Equity
* Foreign Exchange
* Fixed Income Derivatives
They have also developed a dedicated SA module for banks not pursuing IMA approval.
6. Solution Components & Features
| Feature | Description | Benefits |
|---|---|---|
| Modellability Service | Combines real-price data with analytics. | assesses risk factor modellability for capital treatment under FRTB. Used by banks and regulators. |
| Scenario Generation | Historical data, proxy selection, gap-filling, scripting language. | Supports compliant stress-testing frameworks; offers flexibility and governance. |
| Capital Analytics | Desk & group-level capital views, drill-down, SA/IMA comparison. | Complete capital requirement visibility; informed decision-making. |
| SA Module | Dedicated module for Standardised Approach. | Supports banks not pursuing IMA approval. |
| Data Coverage | Enhanced data across multiple asset classes. | Improved accuracy and completeness of risk calculations. |
7. Key Acronyms
* FRTB: Fundamental Review of the Trading Book
* IMA: Internal Models Approach
* SA: Standardised Approach
* S&P: S&P Global Market Intelligence
FINAL SELF-CHECK (HARD STOP)
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