Scope

  • Market Risk
  • Multi-system front office

Requirements

  • Risk aggregation across multiple front office desks
  • Risk sensitivities, Stress Tests and Value at Risk (VaR)
  • Position level granularity to historical risk data
  • Dynamic aggregation of VaR

Delivery

  • Fully managed PoC environment
  • Bespoke RiskMine Cube based on client data feeds
  • Multi-day history and all risk data in a multi-dimensional in-memory cube.
  • Accessible through Excel and dashboards
  • PoC in 3 weeks from data availability

Benefits

  • Lower cost compared to in-house maintenance
  • Increased alignment between Risk and Front Office
  • Risk Managers have more data available for dynamic and ad-hoc analysis
  • Improved data quality through automation

 

Use Case Details

This investment bank already had an implementation of an OLAP cube-based reporting environment for Value at Risk, but had not scaled this to handle all other data needs of Market and Credit Risk. Percentile were asked to showcase how RiskMine could replace the existing aggregation approach with a more scalable solution.

A fully managed instance of RiskMine was set up on Amazon Web Services (AWS) cloud infrastructure, to securely receive data from the bank. The feeds were processed for transformation to RiskMine data formats.

RiskMine Core data transformers extracted the required static and reference data for use in reporting dimensions.

RiskMine Cube and predefined data models were used to aggregate the data, including:

  • Market risk sensitivities
  • P&L vectors for dynamic VaR aggregation
  • P&L for back testing with VaR
  • Multi-dimensional stress tests

The Cube was then populated with one year’s worth of daily data to show scalability and performance.