Under FRTB, the internal models approach (IMA) for market risk requires up to 63 separate expected shortfall calculations, each involving a computationally expensive Monte-Carlo simulation. For a major financial instituation, estimates showed that this calculation would exceed the overnight time-frame using their legacy implementation – they turned to Xcelerit to accelerate their in-house quant library.
The resulting FRTB-IMA system can calculate their market risk capital in fractions of the initial time. The client can quickly assess the capital impact of moving to internal models for each desk, to aid decision-making. The code-base is easy to maintain and modify – an important feature since future changes in the regulation are certain.