ISDA Analytics™ is a sophisticated benchmarking solution that enables banks to implement standardized approach regulatory capital models for market risk, counterparty credit risk and credit valuation adjustment risk consistently and accurately.
The ISDA Analytics™ solution enables banks to analyze their implementations of standardized approach capital models, helping to identify and explain anomalies in model outputs. This allows banks to correct any irregularities before regulatory requirements go live, as well as ensure they are not holding more capital than required.
Regulators can also use the data to monitor implementation in their jurisdictions and better understand the drivers of any divergence.
ISDA provides analysis of standardized approaches to a level of detail, accuracy and speed that no other institution, association or regulatory agency has achieved.
ISDA Analytics™ is also used as a basis for the ISDA Standard Initial Margin Model backtesting and benchmarking exercises.
For more information or to set up a demo, please contact the ISDA Analytics™ team at Analytics@isda.org.
About ISDA Analytics™
The ISDA Analytics™ platform allows banks to benchmark their standardized approach capital models under the Fundamental Review of the Trading Book (FRTB) market risk framework, the credit valuation adjustment (CVA) framework and the standardized approach to counterparty credit risk (SA-CCR).
The benchmarking process comprises two components: a unit test and a hypothetical portfolio exercise.
- The unit test gives banks a prescribed set of input sensitivities and reference data that they run through their standardized approach engine and the results are then compared to ISDA’s golden source results, with any differences flagged for further investigation.
- Under the hypothetical portfolio exercise, banks conduct the end-to-end capital calculations with a set of hypothetical trades and then submit them to ISDA for analysis. The resulting analysis explains any variance in capital results against the median benchmark capital for each portfolio.
The benchmarking solution uses ISDA’s Common Risk Interchange Format (CRIF) to standardize the exchange of risk data.
ISDA Analytics™ is available to ISDA member banks that participate in the industry capital benchmarking initiatives and to regulators. Unit tests are available to vendor that want to certify their capital model implementation.
The standardized approach benchmarking service and ISDA Analytics™ won Risk.net’s Technology Innovation of the Year award in 2022.
For an overview of the ISDA Analytics™ standardized approach benchmarking solution, click here.
- Comprehensive analysis of the performance of FRTB, CVA and SA-CCR standardized approach capital models.
- Quickly identifies anomalies in capital model outputs and explains the reasons for the divergence.
- Allows for comparison of capital model results with peers.
- Available as an easy-to-use online tool, enabling banks to analyze the impact of changes in inputs in real time.
- The standardized approach benchmarking unit tests are also available for third-party vendors to license, giving users comfort that their software generates outputs that conform to the expected results of the ISDA unit tests.
- ActiveViam (FRTB-SA*, SA-CVA*)
- Adenza (FRTB-SA*)
- Avera AI (Area 120 at Google)
- Bloomberg L.P.
- Finastra (FRTB-SA*, SA-CCR*, SA-CVA*)
- FinMechanics (FRTB-SA*)
- FIS (FRTB-SA*)
- MIT (FRTB-SA*)
- MSCI (FRTB-SA*)
- Murex (FRTB-SA*, SA-CCR*)
- OMNI Risks Management
- Opensee (FRTB-SA*)
- Quantile Technologies (SA-CCR*)
- TriOptima (SA-CCR*)
* These vendors have certified to ISDA that their software generates outputs that conform to the expected results of the relevant unit tests.
Full details of licensed vendors are available here.
- April 2023: ISDA SA Benchmarking
- February 2022: Risk Awards 2022 Innovation in Technology
- February 2021: IQ article on benchmarking
- February 17, 2022: ISDA Wins Risk’s Innovation in Technology Award For ISDA SA Benchmarking
- December 9, 2020: Eight Technology Vendors License ISDA SA Benchmarking Unit Test