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:
THE NEEDS, THE CHALLENGES, & THE SOLUTION
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
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)
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
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)
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
Download the Whitepaper
Read the white paper by the Big Data & Business Analytics Observatory of the School of Management Politecnico di Milano:
Modern Data Governance in Risk Management
Among the subjects considered:
Implementing the Irion solution to comply with the banking regulation Fundamental Review of the trading book
Getting ready for the new regulation
Improved Analysis and Data Governance
Data Quality and Data Reconciliation
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