BACKGROUND

The tenfold increase in the number of calculations, the mass influx of consumed and produced data, and the need to harmonise the use of pricing and risk models and data in a complex processing chain meant our client required an overhaul of the FRTB technical platform. The priority was to develop a platform that was as scalable as possible in order to anticipate future changes.

OBJECTIVES

Design and implement the new architecture while taking account of scalability and performance, with a 30-fold increase in data volume in the short-term (100-fold in the medium term), and cutting processing time by a factor of 30.
Support teams in getting to grips with the platform.

DELIVERABLE(S)

Development of a real-time application (Paris, New York, Hong Kong) to track market risks and the limits governing those risks
Industrialisation and go-live of the new platform.

• Features implemented: provision of sensitivities (delta, gamma, etc.), counterparty risks (netting effect and collateral), risk alerting, regulatory reporting indicators
• Introduction of a “parallel run”; daily comparison with the output of the existing system based on Oracle Exadata