An implementation framework to guide system design in response to FRTB requirements

Olivier Collard, Charly Bechara and Gilbert Swinkels
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Olivier Collard: Capco
Charly Bechara: Tredzone
Gilbert Swinkels: Capco

Journal of Financial Transformation, 2019, vol. 49, 70-77

Abstract: 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. This article will present a viable design process, and the supporting framework, to fully leverage today’s multi-core environments, be it cloud or otherwise.

Keywords: FRTB; system design; multi-core; parallelism (search for similar items in EconPapers)
JEL-codes: G02 G24 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:ris:jofitr:1624

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