Analytical and Quantitative Support
Crisil anticipates that there are significant pockets of work required from front office, analytics and risk functions for a smoother transition
![Functional-support]( "Functional-support")
Functional Support
- A strong co-ordination 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
- Limits management - basis risk changes
![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