ENTERPRISE-WIDE RISK MANAGEMENT

Improved and trustable view of global risk and support implementation of FRTB, BCBS239

Solution Brief: Market Risk & FRTB

Solution Brief: Market Risk & FRTB

Solution Brief Market Risk : Fast-forward your FRTB project with Big Data

The future BCBS market risk framework raises substantial operational challenges—with data at the center of them : 5-10x volume, 60x computational time... See how Big Data can help. 

Financial institutions main goal is to provide efficient and cost-effective services supported by risk management policies, which protect the integrity of the market and customers interests.Yet, financial crisis has strongly challenged the existing practices. Capital Market actors and regulators have started to review the way to manage risk and valorize products.A number of initiatives have been launched to address the current issues:

  • Refining counterparty credit exposure and CVA measurements
  • Incorporating the impact of collateral on valuation, counterparty risk measurement, funding costs and liquidity management
  • Addressing the changes to the market arising from evolving regulations, with a particular focus on regulatory capital and margin requirements for centrally cleared versus bilaterally settled OTC derivatives.

Nowadays standard is to conduct most of the risk controls in intraday on all asset class while deal execution.In order to answer to those underlying business challenges, institutions need to develop a robust system and technology infrastructure to drastically increase computational requirements and data quality control.Key points to be addressed by technology:

  • Capacity to connect to multiple systems (internal: FO-, MO- BO- or external) to consolidate information and sources
  • Support all asset classes in a effective and streamlined engine
  • The global architecture must be build with a long-term vision while responding to tactical implementation of project due to an always evolving regulation
  • Process must ensure data quality and accuracy, consistency, completeness in a timeless manner
  • Ensure data security, integrity and ownership to improve relevance of reporting to targeted audiences and stakeholders
  • Extremely high processing capacity to respond to multiplication of scenarios and support business and risk analytics in near real-time
  • Efficiently store data (trade/market/…) in order to execute back-testing or historic computation
  • Integrated in the core of the trade execution, risk management system must ensure resiliency and scalability

Scaled Risk exclusive components based on the new generation “Big Data” architecture is a unique solution to answer to the new challenges of Financial Institutions.


KEY BENEFITS 

SCALABILITY

Unlimited number of trades, aggregations and scenarios

FLEXIBILITY

Scenario, risk factors and buckets can be added and changed easily without project costs or even system restart 

EVENT-DRIVEN & POST PROCESSING

Non-linear simulations can be run directly in the distributed in-memory OLAP cube 

REDUCED COST

Reduced time-to-market, time of implementation, and cost of infrastructure


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