ISDA Standardized Approaches benchmarking for FRTB-SA, SA-CCR and CVA

Tags:

ISDA benchmarking of standardized approaches (SA) helps firms and regulators achieve consistent and accurate implementation of the standardized approaches for regulatory capital for market risk (known as the Fundamental Review of the Trading Book, or FRTB), counterparty credit risk (CCR) and credit valuation adjustment (CVA) risk.

The following vendors have licensed the ISDA SA Benchmarking Unit Tests for purposes of testing their software’s ability to conform with the calculation logic comprised in the Unit Tests:

ActiveViam*

Avera AI (Area 120 at Google)

AxiomSL

Murex

* these vendors have certified to ISDA that their FRTB-SA software generates outputs that conform to the expected results of the Unit Tests, as agreed with the industry, known as the ISDA Golden Source Results.

For any ISDA Unit Test question, please contact Analytics@isda.org.

For additional information on which capital models (FRTB-SA, SA-CCR, CVA) and related services are offered by the above parties and their contact information, please see the document (1) attached below.

For additional information on the ISDA SA Benchmarking exercise, please see the fact sheet document (2) attached below.

Documents (2) for ISDA Standardized Approaches benchmarking for FRTB-SA, SA-CCR and CVA