Case Study: Risk Systems: Re-Engineering Programme

ABOUT

Our Client, a European Bank, ran all its Risk and P&L calculations within Summit for its Rates business. The dependency on the Vendor meant our client was unable to leverage the latest pricing models due to lack of flexibility of Summit analytics. First order exotics (European & Bermudan Swaptions, CMS) were run in Summit, using its native analytics. Complex exotics (TARNS, Range Accruals, Digitals) were calculated offline in spreadsheets (frequency 1-2 per week) using in-house analytics.

 

OUR CLIENT CONTEXT

Design & Creation of Standardised Services for generation of FO analytics – Product and market specific plugins were created by the Strat team – providing all aspects of the trade economics, using the data model specified by Quants, to translate the generic tables into the underlying Quant library object. This was complimented with an evolution of the workflow service – where the underlying task-based implementation facilitated the creation of a DAG (Direct Acyclic Graph) based process for intraday calculations.

 

OUR APPROACH

  • We built a generic data extraction tool to model trade and market data based on generic table structure (name/value pairs specific to markets) – which could then be persisted into the strategic storage layer.
  • Creation of a message based interface – enabling seamless extensibility to cater for future product types. This was leveraged by the Workflow service, to introspect the trade, while executing its tasks as defined by the Quants.

 

CAPABILITIES DELIVERED

  • Standardisation of Quant Library input & output data. This facilitated the testing and troubleshooting process by allowing inputs to be re-played on any testing environment. Results can then be compared to future releases.
  • Streamlined regression testing: overnight – for a sample-set of trade/market data; weekly – for the full-set of trade and market data.
  • Increased Issue Resolution Capability: The generic input/results format facilitated the discovery and investigation of issues, and allowed for new test cases to be created without changes required to the generic testing framework

 

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