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
Mariano Biondelli participated as a speaker at the Irion Innovation Day
2019 event, held in Milan at the Cariplo Foundation.
Subjects addressed:
REQUIREMENTS, CHALLENGES & SOLUTION
Requirements
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
Overall execution time reduced
Repeatable processes
Traceability
Traceable corrections
Challenges
Run complex calculations quickly
Integration
Make input data acquisition from around 60 sources (files and DBs) rational and efficient
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
Run Asset Class processes and rerun them several times for each period, consolidating final data.
Orchestration
Execute processes immediately upon availability of all the sources for a single process
Integration
Make input data acquisition from around 60 sources (files and DBs) rational and efficient
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
Run Asset Class processes and rerun them several times for each period, consolidating final data.
Orchestration
Execute processes immediately upon availability of all the sources for a single process
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
An autonomous solution that 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.
The processes are completed quickly, so that they can even be run daily.
Both automatic and manual processes are traceable and repeatable.
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