Scope

  • Basel II & III Regulatory Capital with Internal Model
  • 20+ Business Lines, across four global locations, and many front office systems
  • 200,000+ OTC Credit & Equity Structured Derivatives
  • Market & Credit Risk
  • Counterparty Credit Risk

Requirements

  • Daily and intra-day reporting
  • 100+ What-if Scenarios & Stress
  • 6 types of Value at Risk (VaR)
  • Data governance for regulatory scrutiny
  • Foundation and Advanced Counterparty Risk
  • Comprehensive Risk Measure & Incremental Risk Charge
  • Multi-currency reporting

Benefits

  • Close alignment between Front Office, Risk Management and Finance
  • Delivered multi-million dollar savings and P&L from improved risk awareness
  • Faster “to market” with new regulatory requirements and new business opportunities
  • Empowered Risk Managers to answer complex questions and made them a partner to the front office
  • Improved data quality through automation and transparency

Delivery

  • Full production Risk Technology for over 10 years
  • Software development
  • Project Management

Use Case Details

RiskMine was originally developed and evolved for the needs of this global investment bank with a complex asset class mix.

The day-to-day requirements of risk management, regulatory capital calculations and the stringent requirements of audit and compliance were handled by Percentile’s founding team and the RiskMine platform.

The environment included many front office trading systems, both vendor and in-house developed, each with their own strengths and weaknesses when it came to risk output.

RiskMine Cube

RiskMine Cube provided standardised data models and file formats for continuous risk aggregation across all front office systems with granularity down to the position level. Including:

  • Market risk sensitivities
  • Credit risk sensitivities
  • Time-bucketed exposures
  • Multi-dimensional stress tests
  • Historical and hypothetical stress tests
  • Historical VaR with P&L Backtesting (with dynamic VaR calculations at any level)
  • P&L Explain
  • Parameter Review / Model Validation

Risk Management and front office end users mostly interacted with Cube via Excel, but without the hassles associated with spreadsheet-based data management. They also used web-based reconciliation and reporting tools, connected to the same source Cubes.

RiskMine Chronos

RiskMine Chronos was used to collect, visualise and cleanse tens of thousands of risk factor time series required by downstream calculations and scenario generation. Chronos provided the data governance required by regulatory calculations such as VaR.

RiskMine Scenarios

RiskMine Scenarios was the centralised scenario generation for many types of stresses and simulations as required by Risk Management and front office. Including:

  • Multiple VaR simulations
  • Hypothetical and Historical stress tests
  • What-if scenario
  • EBA Stress tests
  • Credit sensitivities
  • CRM & IRC simulations

RiskMine Wildfire

RiskMine Wildfire was used to orchestrate the federated, multi-platform distributed computation of scenarios across front office trading system models. Wildfire controlled over 500 pricing nodes across multiple trading systems in multiple locations globally.

The result was a heterogeneous massively parallel risk computation engine that could execute all the different types of stress scenarios required by Risk Management.