SOLUTIONSMARKET AND COUNTERPARTY RISK

SOLUTIONS MARKET AND COUNTERPARTY RISK

 

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

Mediobanca logo

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 

REQUIREMENTS, CHALLENGES & SOLUTION
Needs

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

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

La soluzione

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.