Technology Services for Risk Management

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1 Technology Services for Risk Management

2 In a constantly changing industry you need a forwardthinking technology partner

3 Excelian is your partner in Technology for Risk Management Within the financial services industry new regulations such as EMIR & Dodd-Frank are forcing businesses to re-think the way they calculate & report their risk. The requirement for increased model validation, more sophisticated risk calculations such as CVA & PFE and the need to provide historical reporting, is demanding more compute resource than ever before. At the extreme, increased capital costs are making businesses reconsider the viability of whole business lines, whilst Central Counterparty Clearing is significantly impacting the way banks run their businesses and service their clients. These business challenges translate directly into technical challenges, so it s vital to have technology that s both powerful and flexible enough to handle them. You need systems that perform computations in a timely manner, can store vast sets of results and make them highly accessible. With over 350 people and more than a decade s experience in delivering complex Risk Management technology for the financial services sector, we have a unique understanding of industry trends, best-practice, and a real insight into the way new regulations are affecting the use and evolution of both niche and mainstream technologies. We have close relationships with all of the major Risk Technology vendors which, when combined with our deep technical knowledge of High Performance Computing, means we can advise, integrate and support complete best-of-breed risk system solutions to meet the business needs of your organisation. Our specialist services include: TECHNOLOGY ADVISORY AND ARCHITECTURE DEFINITION Our seasoned professionals bring a wealth of experience and expertise they ve gained through delivering similar solutions across multiple financial institutions. They will work closely with you, your Quants and your IT Department in order to get a thorough understanding of your requirements and define your Risk IT roadmap. RISK PLATFORM BUILD We are hugely experienced in building bespoke Risk systems using an incremental Agile approach, or integrating specialist vendor platforms, taking care of everything from design through to build, implementation and support. VENDOR SELECTION OF RISK PLATFORMS We can help you to select the most appropriate vendor platform for your needs, ensuring that all of your requirements are met and that your stakeholders are successfully managed. We will drive the vendor selection process and guarantee a fair selection tailored to your requirements. HIGH PERFORMANCE COMPUTING ENGINEERING HPC can accelerate and improve the most critical parts of your risk systems and, when it comes to HPC, Excelian has always been ahead of the game. Our expert team regularly hosts events, publishes white papers, releases blog articles and maintains strong relationships with all key HPC vendors, giving us a unique understanding of market trends, developments and product offerings in an everchanging technical landscape.

4 Case Studies TECHNOLOGY ADVISORY AND ARCHITECTURE DEFINITION International Spanish Bank Definition of the architecture of the strategic CVA risk platform. The Excelian team helped define the architecture of the next generation cross-asset risk platform to meet the bank s requirements for CVA/PFE which involved working closely with the Quantitative group, the CVA Trading Desk, the Risk and IT teams. The engagement was focused on the design of the core risk engine for inception pricing and end of day processing, as well as associated key technology choices (grid middleware, data storage & caching and result visualisation). The result of the engagement included an architecture roadmap, project plan, and technology recommendations. International Clearing House Definition of the Architecture for online CDS VAR calculation. Excelian provided the logical and physical architectures for an online tool to support the margin calculation (based upon VAR) for CDS products. This involved designing a scalable architecture, based around data grid technologies, to deal with the high volume of requests. Excelian also designed the controller responsible for orchestrating the margin calculations (both intraday and overnight).. International Clearing House Definition of the Architecture for new IRD products. Our client had a business imperative to support new interest rate derivative products due to competition from other clearing organisations. The project involved requirement definition with the business, followed by an RFP process with a set of selected vendors to recommend the best-of-breed risk engine. Excelian then defined the architecture roadmap and project implementation plans. Tier II Dutch Bank Definition of the target risk architecture for CVA, Credit Counterparty Risk and Market Risk and organisation model for FO Quants, Risk Quants and IT Excelian helped the senior IT management determine an operating model for their IT teams, Front Office Quants and Market Risk / Credit Risk Quants in order to improve agility and the quality of systems deliveries. Excelian also advised on the best approach to structure a strategic risk platform and defined an aspirational architecture for the bank.

5 RISK PLATFORM BUILD International Clearing House CDSClear VAR calculation tool. After providing the logical and physical architectures for an online tool to support the margin calculation (based upon VAR) for CDS products, Excelian are now in the process of building the solution with a team of 10 developers. This has required the integration of Oracle Coherence to deal with the high volume of requests and risk generation using TMX Razor Risk. Excelian leads and runs the project using an Agile Development approach bringing both the reactivity and adaptability that the client required. Global Swiss Bank Strategic risk engine build, with Phase 1 delivery of a PFE engine Since early 2011, Excelian has been helping this large Tier 1 bank with the implementation of their strategic risk platform. We initially implemented key regulatory changes for the Interest Rates Derivatives platform (including the implementation of Basel III requirements) and subsequently worked with the bank to transform the platform into a crossasset risk system. The Excelian team consisted of 12 consultants including project manager, business analysts and developers; the technologies involved are C#, SQL Server and a large Platform Symphony Grid. Global French Bank Strategic risk engine build Excelian is a key technology partner for the bank and has helped to deliver their next generation risk platform running an innovative Platform Symphony / Oracle Coherence / Cassandra / GPGPUs stack designed to deliver outstanding real-time cross-asset performance. The Excelian s team of 8 consultants included grid developers, quant developers and HPC engineers. Commodities trading house VAR Market Risk system build for Commodities Excelian worked very closely with this large commodities house to build a new scalable Market Risk platform. Initially, this involved working closely with the market risk users to understand in detail the requirements, followed by defining the overall architecture and delivery roadmap for the platform. Excelian have since gone on to deliver the strategic data warehouse for holding Exposure/ Trade/ P&L and Risk data and a GUI through which the users interact to request the generation of risk and mine the results and reports to downstream systems. VENDOR SELECTION OF RISK PLATFORMS International South African Bank - CVA vendor selection Excelian is in the process of helping this Tier 2 bank undertake a system selection to either build or implement a solution for CVA. Excelian are gathering the business requirements and leading the RFP process with the major Risk system vendors. The result of the process will be to recommend a system and provide a high-level project plan & costs for implementation. International Australian Bank - CVA vendor selection Excelian helped this Tier 2 bank undertake a system selection to either build or implement a solution for CVA. Excelians gathered the business requirements, and lead the RFP process with six vendors within the Risk system space. The result of the process has been to recommend a primary and secondary vendor and provide a high-level project plans & costs for implementation, as well as the scope for a Proof of Concept. HIGH PERFORMANCE COMPUTING ENGINEERING International Australian Bank Counterparty Credit Risk Engine Excelian was brought in to architect & build the compute element of the counterparty credit risk engine. This involved defining the HPC Server grid infrastructure and assisting with the integration of the Markit Analytics (MA) risk components within the grid. Excelian also carried out performance testing of the solution, deriving optimal configuration settings for the overnight batches. International risk management vendor and international Japanese Bank Microsoft HPC Server and Azureenablement Excelian helped both clients integrate Microsoft HPC Server in their existing stack, migrating from an incumbent vendor and an in-house grid solution. The migration work involved redesigning the code of the applications to use the new grid API as well as putting in place the HPC Server infrastructure. Microsoft Azure burst scenarios were then implemented through further architecture changes in order to optimise data movements between the components and automate the considered burst scenarios.

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