Market Risk Metrics

  • Market Risk metrics (sensitivities, limits, VaR, stressed tests...) are the pillar of banks’ market risk framework.

  • Constantly certifying, monitoring and reconciling these metrics with a full audit trail that complies with regulatory data governance, can be challenging.

  • Users need to access data to run advanced analytics, but data size can be a set-back that needs to be overcome in: 

Problem

  • ICA’s solution RAFAL provides users with: 

Solution

  • easy access to a common data pool with a virtually unlimited capacity, to provide a consistent view to all data users (from risks, front office, finance…), within their pre-set limits (to handle view and edit rights)
  • the most granular level of their data (not just pre-aggregated data or partial extracts)
  • certification and audit trail of risk metrics to comply with data governance requirements
  • a Python framework allowing analytics to be coded by end users autonomously 

Outcome

  • Users are now allowed to access easily and run queries on their trillions of data points with the flexibility of a pivot table
  • They experience speed and agility with a direct access to the full depth of their data
  • All the modifications are now being saved and monitored in the audit trail allowing risk officers and managers to better monitor the activity of the various desks at a glance
  • Thanks to Python calculators, users can build their own risk metrics for simulation/customized risk reports 

  • applying shortcuts (over-simplifying analytics, pre-aggregating data…) 
  • decreasing the numbers of runs
  • waiting longer for results
  • increasing resources thus costs of runs… 

CONTACT

info@the-ica.com

+44 203 350 50 29
+33 1 53 65 35 97

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ABOUT ICA


ICA is a Capital Markets Fintech that empowers Big Data end-users to make advanced risk and business decisions.

For any GDPR information, please contact our Data Protection Officer: gdpr@the-ica.com