FRTB

Eclipse Free BIRD Tools introduces RPMN (Regulatory Process and Modelling Notation) as a means for Regulatory experts to easily describe and collaborate on machine readable requirements documents without programming experience.

As a showcase of RPMN we use it to record the requirements and tests for the FRTB Sensitivities Based Approach regulations, which is amongst the most complex regulations existing.

Since tests can be traced back to regulatory text and a precise part of processing in the workflow we hope that this will be a valuable open free tool for model validation for banks testing their FRTB solutions

FRTB data model and Process model

We show below the FRTB datamodel derived from the regulatory requirements, and the workflow of processing.

The formal workflow is used to to guide completeness in the tests.

Work is continuing to improve traceability from tests to workflow to regulatory text and increase the number of tests. Since this is open source project, contributions and review and discussion are always welcome

The RPMN text files are available on Github

You can install the Eclipse Free BIRD tools application and open FRTB as an example by following the instructions on the Eclipse Free BIRD Tools Wiki

workflow
workflow