1. ISDA Solutions Infohub
  2. ISDA Capital Models Benchmarking
ISDA’s Capital Models Benchmarking initiative enables firms to implement and validate standardized and internal regulatory capital models across jurisdictions via two complementary solutions: aggregation tests, which provide golden-source reference outputs, and hypothetical portfolio exercises, which enable peer comparisons of end-to-end results.
ISDA’s Capital Models Benchmarking initiative enables firms to implement and validate standardized and internal regulatory capital models across jurisdictions via two complementary solutions: aggregation tests, which provide golden-source reference outputs, and hypothetical portfolio exercises, which enable peer comparisons of end-to-end results.

Key Benefits

ISDA Capital Models Benchmarking helps firms meet regulatory expectations by improving the accuracy and consistency of capital models, while reducing validation costs and improving operational efficiency through automation. Covering both standardized and internal models in multiple jurisdictions, it streamlines data submission, peer analysis and feedback loops to minimize manual effort and facilitate early detection and resolution of discrepancies. The framework and associated tools have also been used directly or indirectly to support various supervisor-led capital models benchmarking initiatives.

 

Contact

For more information, please contact the ISDA Capital Models Benchmarking team at ISDABenchmarking@isda.org.

 

About ISDA Capital Models Benchmarking

The ISDA Capital Models Benchmarking initiative covers standardized approach capital models under the Fundamental Review of the Trading Book (FRTB-SA) market risk framework, the credit valuation adjustment (FRTB-CVA) framework and the standardized approach to counterparty credit risk (SA-CCR). It also encompasses the internal model approach under the FRTB (FRTB-IMA) and the internal models method for counterparty credit risk (CCR-IMM).

It comprises two complementary solutions to support regulatory model validation:

  • Aggregation tests (unit tests): These provide golden-source outputs for a standardized set of inputs using ISDA’s Common Risk Interchange Format (CRIF), allowing firms to verify that their model implementations align with the relevant jurisdictional standards.
  • Hypothetical portfolio exercises (HPEs): These allow users to assess full-model behavior across shared portfolios, allowing firms to compare assumptions, input generation and capital results with industry peers.

These solutions enable participants to identify discrepancies early, align with their peers and proactively address supervisory expectations. Results from HPEs are hosted and visualized through the ISDA Analytics™ platform, while aggregation tests are distributed separately for internal use and vendor certification.

More than 80 firms have participated in ISDA’s Capital Models Benchmarking initiative.

ISDA Analytics™ and its benchmarking service won Risk.net’s Technology Innovation of the Year in 2022, recognizing its unique contribution to regulatory compliance and capital model transparency.

 

Aggregation Test (Unit Test)

The aggregation tests provide banks with a prescribed set of CRIF-formatted input sensitivities and reference data, along with jurisdiction-specific parameters. Firms run these through their internal calculation engines and compare outputs against ISDA’s golden-source results.

This tool supports FRTB-SA, FRTB-CVA and SA-CCR across multiple jurisdictions, helping firms verify that their models interpret and implement regulatory rules consistently and accurately.

In addition to banks, third-party vendors can license the aggregation tests and, upon successful certification, publicly demonstrate that their software aligns with industry-standard results. This certification gives firms confidence in vendor-provided capital model solutions.

To inquire about becoming a licensed vendor, please contact the ISDA Capital Models Benchmarking team at ISDABenchmarking@isda.org.

 

Current list of Licensed Vendors

Acadia

ActiveViam (FRTB-SA*, FRTB-CVA*)

Adenza (FRTB-SA*)

Avera AI (Area 120 at Google)

Bloomberg L.P.

Finastra (FRTB-SA*, SA-CCR*, FRTB-CVA*)

FinMechanics (FRTB-SA*)

FIS (FRTB-SA*)

ICE (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 aggregation tests.

Full vendor details are available here.

 

Aggregation Test Key Features

  • Covers standardized capital models: FRTB-SA, FRTB-CVA and SA-CCR.
  • Provides golden-source outputs based on CRIF input files, reflecting industry consensus.
  • Developed through years of regulatory and industry engagement.
  • Enables jurisdiction-specific validation, supporting cross-border compliance.
  • Used by banks to validate internal calculations and align with regulatory expectations.
  • Available for vendor licensing, allowing certified alignment with industry standards.
  • Updated to reflect evolving regulatory requirements.

 

Hypothetical Portfolio Exercises

HPEs assess the end-to-end performance of capital models by asking firms to calculate capital for a set of standardized hypothetical portfolios and submit results through the ISDA Analytics™ platform for comparison and analysis.

Unlike aggregation tests, HPEs capture the full modeling chain – including input generation, trade booking and interpretational assumptions – across models, including FRTB-SA, FRTB-IMA, FRTB-CVA and CCR-IMM.

Since 2018, ISDA has facilitated HPEs in three formats: in partnership with regulators to support supervisory-led initiatives; as shadow processes to regulatory exercises that allow firms to identify and resolve issues before official submission; and as part of industry-led exercises. Across all formats, the exercises improve data quality, highlight implementation differences and strengthen alignment between firms and supervisors. ISDA Analytics™ underpins the process by automating submissions, validation and results analysis, making benchmarking more efficient and consistent.

 

HPE Key Features

  • Delivered via ISDA Analytics™ for secure, automated processing and rapid feedback.
  • Supports resource optimization through streamlined workflows and iterative submissions.
  • Uses the ISDA CRIF for consistent, standardized risk data exchange.
  • Developed through close collaboration with regulators and industry participants.
  • Informed by years of experience running global benchmarking exercises.
  • Supports both regulatory and industry-led initiatives across jurisdictions.
  • Backed by working groups to align assumptions and resolve interpretative issues.
  • Enables early self-correction through peer comparison and analytical insights.

 

 

Fact Sheets/Presentations

 

Press Releases/Blogs