Counterparty risk and market risk (FRTB)
CEM and SA-CCR standard methods, Basel II and FRTB
We wanted a solution that was both powerful and effective and gave us the ability to manage it almost completely autonomously. In addition, we needed a solution that not only contained the data and made it available, but also allowed us to process it in a complex way.[…] In our experience, the approach with the Irion programmers and the Irion company was always optimal for us.
Mariano Biondelli
Market Risk Manager
Customer since
2014
Requirements
Automation, autonomy, and traceability with Irion EDM
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
Autonomous management of regulatory changes
Speed and repeatability
Reduced overall execution time
Repeatable processes
Repeatable processes
Traceability
Traceable corrections
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
Metadata-Driven Engine, Execution Datastore
Data Editing Human Task Interface
Orchestration Automation Workflow Engine
Analytics Engine (“R”)
Automatic Traceability and Audit
Results obtained
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.
Challenges
Run elaborate calculations quickly
Integration
Make input data acquisition from around 60 sources (files and DBs) rational and efficient
Elaborate calculations
Create an intermediate repository for normalized and enriched data to run elaborate calculations using R
Corrections
Manage data corrections (input and intermediate database)
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