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 (FRTB-SA*, SA-CVA*)
Finastra (FRTB-SA*, SA-CCR*, SA-CVA*)
Quantile Technologies (SA-CCR*)
* these vendors have certified to ISDA that their software generates outputs that conform to the expected results of the relevant 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.
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- Risk Awards 2022 Technology Innovation of the Year(pdf) will open in a new tab or window
- ISDA SA Benchmarking-Licensed vendors May-2023(pdf) will open in a new tab or window
- Article in IQ Magazine on ISDA SA Benchmarking, February 2021(pdf) will open in a new tab or window
- ISDA SA Benchmarking Brochure(pdf) will open in a new tab or window