Scope

  • Risk Management, Risk Control, Risk IT
  • Market & Credit Risk

Requirements

  • Improved data management
  • Risk aggregation and interactive analysis
  • Improved risk reporting

Delivery

  • Project management and advisory for reporting architecture
  • On-premises reporting PoC in under 2 weeks
  • Business analysis and requirements specification

Benefits

  • Lower cost compared to in-house build
  • More transparency for Risk Managers when answering questions
  • Risk Managers have more data available for dynamic and ad-hoc analysis
  • Improved data quality through automation

 

Use Case Details

This investment bank had multiple sources of risk output being used in a traditional relational database.

Percentile was asked to advise on improved risk data management and showcase the benefits of in-memory aggregation and multi-dimensional cubes.

RiskMine Core was used to automate collection and data management.

RiskMine Cube’s built-in data models provided aggregation and reporting of:

  • Market and Credit Risk sensitivities
  • Dynamic VaR aggregation from precomputed P&L vectors
  • Ease of reporting in Excel and integration with the bank’s chosen BI tool.
  • Scalable data handling and automated cube management

Following a successful proof of concept, Percentile’s team provided the technical expertise and specifications for the development of improved database models to prepare the bank for large scale deployment of multi-dimensional cubes.