IHS Markit: FRTB - Sparking New Approaches for Big Data Analytics

The introduction of the Basel Committee’s Fundamental Review of the Trading Book (FRTB) standards involves a comprehensive overhaul of banks’ market risk capital frameworks. The move from value-at-risk (VaR) to scaled expected shortfall (ES) in order to capture tail risk will significantly increase the number and complexity of the capital calculations that banks need to undertake, as well as the sheer volume of data to be managed.

From a computation perspective, this means that P&L vectors

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