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
Interview with Mariano Biondelli
Mediobanca
Market Risk Manager
Marco Airoldi participated as a speaker at the Irion Innovation Day
2019 event, held in Milan at the Cariplo Foundation.
Among the topics addressed:
Non-Regression Test, Time-to-market
REQUIREMENTS, CHALLENGES & SOLUTION
Requirements
An automated, autonomous, traceable, fast and repeatable solution
Regulatory compliance
Counterparty and market risk calculation solution following standard algorithms for specific legislations.
Automation and autonomy
Automated solution to reduce operational risk
Regulatory change managing autonomy
Speed and repeatability
Overall execution time reduction
Processes repeatability
Traceability
Correction traceability
Challenges
Quick complex calculations
Integration
Streamline and efficient input data acquisition from around 60 sources (files and DBs)
Complex calculations
Create an intermediate repository for normalized and enriched data for complex calculations using R
Corrections
Manage data corrections (input and intermediate database)
Repeatability
Execute Asset Class processes and rerun them several times for each period, consolidating final data.
Orchestration
Execution of immediate availability processes of all the sources of the single process
Integration
Streamline and efficient input data acquisition from around 60 sources (files and DBs)
Complex calculations
Create an intermediate repository for normalized and enriched data for complex calculations using R
Corrections
Manage data corrections (input and intermediate database)
Repeatability
Execute Asset Class processes and rerun them several times for each period, consolidating final data.
Orchestration
Execution of immediate availability processes of all the sources of the single process
The solution
Automation, autonomy and traceability with Irion Edm
Capabilities
Some of the features of Irion EDM:
Metadata Driven Engine, Execution & Datastore
Data Editing & Human Task Interface
Orchestration & Automation Workflow Engine
Analytics Engine (“R”)
Traceability and automatic audit
Results obtained
An autonomous solution that evolves and adapts to specific needs.
Results produced on immediate data availability without the need for human interaction. We only intervene correction management and re-executions on demand.
The processes are completed quickly, even performed daily.
The automatic and manual processes are tracked and repeatable.
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