Global risk management solutions
US Investment Bank deploys a global data warehouse to measure proprietary risk positions and run scenario based stress tests to comply with SEC regulations.
With 32 entities active globally in proprietary trading, a single repository of positions providing an aggregate daily view of market risk was needed to ensure compliance with prescribed capital ratios.
An inventory of asset classes and risk measurement algorithms was developed. A data architecture for the aggregation hub was designed to provide a scalable platform capable of running multiple risk measurement simulations.
Feeds were developed and implemented to deliver risk positions daily from global trading units.
An OLAP architecture was implemented that provided a data cube capable of providing multi-dimensional reporting.
The firm was able to demonstrate a strong risk management capability to optimise trading activity globally across all asset classes.