Case Study:  Cross–Product Risk Data Warehouse

Engagement:

A Global Investment Bank selected Risk Focus to design and build a custom data warehousing solution capable of aggregating Market Risk and P&L data across various Fixed Income and Credit Derivative products from multiple upstream systems. The solution also demanded the flexibility of generating consolidated Risk and P&L reports for numerous legacy systems, as well as the ability to provide customizable views for a real-time Risk Management tool.

The Situation:

A 3rd party Risk Reporting solution, though of recent design, was incapable of processing the trade volumes of the client’s flow trading desk and required immediate replacement. The Risk Management Tool utilized by the desk was driven by an antiquated back-end architecture which was neither flexible nor robust, and could not incorporate real-time reporting.

Approach:

A Risk Focus team assessed the reporting environment and architected an Oracle Data Warehousing solution. The team then developed a back-end system capable of real-time data persistence as well as flat-file consumption via an ETL [Extract, Transform, and Load] interface. In addition, the team engineered an OLAP reporting functionality capable of delivering aggregated End-of-Day Risk and P&L reports to the various downstream legacy systems.

Results Achieved:

The data warehousing solution allowed the client to manage the Market Risk and P&L data which they previously could not, and provided the flexibility to incorporate real-time reaction for intra-day Risk Management. The solution also enabled the business to deliver the Market Risk and P&L data of a high volume trading desk to various downstream systems. The solution was considered highly successful and the back-end architecture is now being evaluated for use by other client trading desks.