Market and Counterparty Risk

EMC and SA-CCR, Basel II and FRTB standard methods

Market and Counterparty Risk

EMC and SA-CCR, Basel II and FRTB standard methods

Client testimonials

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Interview with Mariano Biondelli
Mediobanca

Market Risk Manager

Mariano Biondelli participated as a speaker at the Irion Innovation Day
2019 event, held in Milan at the Cariplo Foundation.

Subjects addressed:

Risk Management

THE NEEDS, THE CHALLENGES, & THE SOLUTION

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The needs
An automated and autonomous solution that is traceable, fast, and repeatable

Regulatory compliance

A solution for counterparty and market risk calculation based on standard algorithms for specific legislations (Fundamental Review of Trading Book)

Automation and autonomy

Automated solution to reduce operational risk

Autonomous management of regulatory changes

Speed and repeatability

Reduced overall execution time

Repeatable processes

Traceability

Traceable corrections

The solution
Automation, autonomy, and traceability with Irion EDM

Capabilities

Some of the Irion EDM features used:

Metadata-Driven Engine, Execution & Datastore

Data Editing & Human Task Interface

Orchestration & Automation Workflow Engine

Analytics Engine (“R”)

Automatic Traceability and Audit

Results Achieved

A solution that autonomously evolves and adapts to specific needs.

Results produced immediately upon data availability with no human interaction. Human intervention is needed only for potential change management and on demand re-executions.

Quick process completion makes it possible to run them even daily.

Both automated and manual processes are traceable and repeatable.

The challenges
Run elaborate calculations quickly

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Integration

Make input data acquisition from around 60 sources (files and DBs) rational and efficient

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Elaborate calculations

Create an intermediate repository for normalized and enriched data to run elaborate calculations using R

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Corrections

Manage data corrections (input and intermediate database)

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Repeatability

Run Asset Class processes and rerun them several times for each period, consolidating final data.

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Orchestration

Execute processes immediately upon availability of all the sources for a single process

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Integration

Make input data acquisition from around 60 sources (files and DBs) rational and efficient

window.tgpQueue.add('tgpli-62fd0eaba5b8b')<img width="32" height="32" src="https://www.irion-edm.com/wp-content/uploads/2019/12/circle-yellow.png" class="vc_single_image-img attachment-full" alt="" title="circle-yellow" />

Elaborate calculations

Create an intermediate repository for normalized and enriched data to run elaborate calculations using R

window.tgpQueue.add('tgpli-62fd0eaba5b96')<img width="32" height="32" src="https://www.irion-edm.com/wp-content/uploads/2019/12/circle-yellow.png" class="vc_single_image-img attachment-full" alt="" title="circle-yellow" />

Corrections

Manage data corrections (input and intermediate database)

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Repeatability

Run Asset Class processes and rerun them several times for each period, consolidating final data.

window.tgpQueue.add('tgpli-62fd0eaba5ba8')<img width="32" height="32" src="https://www.irion-edm.com/wp-content/uploads/2019/12/circle-yellow.png" class="vc_single_image-img attachment-full" alt="" title="circle-yellow" />

Orchestration

Execute processes immediately upon availability of all the sources for a single process

Market and Counterparty Risk