IMPLEMENTATION

The proposed measures and actions taken were as follows:

• Interpretation of Regulatory Text and Operational Implementation in the SI System:

A key part of our mission was to analyze and interpret the regulatory guidelines related to FRTB-CVA. Thanks to our expertise in financial regulation and our in-depth understanding of industry standards, we were able to translate these requirements into concrete actions for our client’s information system. Our tailored approach allowed us to precisely meet the regulator’s standards while optimizing our client’s operational efficiency.

• Development of a Tactical Calculator for Quantitative Impact Studies (QIS):

The first step in our mission was to design and develop a tactical calculator using Python and SQL. The purpose of this tactical calculator was to generate accurate and reliable results within tight deadlines in order to meet the regulator’s requirements for Quantitative Impact Studies (QIS). We drew on our skills and regulatory expertise to ensure the smooth operation of this critical tool.

• Support in implementing the target calculator by building on the experience gained from the tactical calculator:

Alongside the implementation of the tactical calculator, we also began developing the official calculator. Drawing on the experience we gained while creating the tactical calculator, we were able to design an optimized official version, ready for use on a larger scale. This approach allowed us to accelerate the rollout process while ensuring compliance with current regulations.