User-driven stress tests compute alongside systematic built-in scenarios seamlessly. Centralised definitions by scenario generators allow stress tests, calculations like VaR, Expected Shortfall, CRM, IRC and many more to be created and maintained independently on a unified platform.

A federated methodology integrates with trading system models to deliver one-model pricing. What-if scenarios, VaR, Stressed VaR, Expected Shortfall and many other forms of stress testing made possible by powerful, modular technology. Designed to minimise manual intervention and optimise investment in hardware and elastic computing. RiskMine Scenarion and Wildfire together deliver flexibility and future adaptability.

  • Integrate with multiple front office systems and analytic libraries
  • Centrally execute any number of stress tests and simulations
  • Create a massively parallel risk computation engine
  • Remove reliance on monolithic batch jobs
  • Move to on-demand, resilient stress testing and scenario analysis

Stress Tests and Simulations

  • Achieve full-revaluation stress test analysis across the entire business
  • Sophisticated scenario generation for all manner of user reports
    • 1-day HVaR, 10-day HVaR, Stressed-VaR, Expected Shortfall
    • Historical Stress scenarios – Credit Crunch, 9/11, Russian Crisis etc.
    • Hypothetical and ad-hoc stress tests
  • User driven stress test definitions, removing IT burden
  • Create stress tests as and when required by the Regulators

Scenario Generation

  • Dynamic proxying algorithms
  • Partial and composite time series handling
  • On-demand and batch processing
  • Analytics to pinpoint the drivers of risk, down to each scenario for each position.

Wildfire Distributed Calculations

Incorporating sophisticated queuing theory, dynamic caching and distributed computing techniques, RiskMine Wildfire provides an advanced environment for workload and data distribution.

Wildfire’s federated pricing architecture integrates easily with existing trading systems and analytic libraries to create scalable risk calculation farms.

  • Mulit-language, multi-platform integration API
  • Massively parallel and distributed pricing architecture
  • Simple and open API to integrate existing systems
  • Sophisticated load balancing
  • Achieves linear scalability, keeping calc-farms 100% busy

See Scenarios & Wildfire in action