Analytical and Quantitative Support
Although financial service firms and other entities have made tremendous strides to prepare for IBOR transition, there is still much work to be done. Crisil is working with its client to identify and complete changes required for a smooth transition across front office, analytics and risk functions.
![Functional-support]( "Functional-support")
Functional Support
- Strong coordination between analytics and technology functions required to achieve the following system overhauls:
- Backward-looking rates, compounding in arrears mode
- Multi-curve framework modifications
- Collateral assignments
- Model, valuation and static data configurations
![Risk-and-Capital-Management]( "Risk-and-Capital-Management")
Risk and Capital Management
- Increased risk factors - FRTB implications
- Complications in stress scenario design and stress loss analysis
- RWA and capital projections
- Time series backfilling for both pricing and regulatory reporting such as value at risk (VaR)
- Liquidity management
![Front-Office-Valuation]( "Front-Office-Valuation")
Front Office Valuation
- Pre-transition impact analysis
- New product referencing RFR design and testing
- RFR curve construction and validation
- New market instruments and hedging approaches
![Model-Management]( "Model-Management")
Model Management
- Re-review of models/products impacted due to RFR introduction
- Model re-documentation to support new framework
- Changes to ongoing model monitoring
- Increased regulatory and audit scrutiny
RFR Product Design and Pricing – Crisil Offerings