The implementation of the “Fundamental Review of the Trading Book” (FRTB) requires significant changes to risk platforms to meet performance and latency objectives. Compliance with the requirements of the FRTB demands a major overhaul of front-to-back infrastructure. It is to meet this need that we provided support to a major banking institution.
The tenfold increase in the number of calculations, the mass influx of consumed and produced data, and the need to harmonise the use of pricing and risk models and data in a complex processing chain meant our client required an overhaul of the FRTB technical platform. The priority was to develop a platform that was as scalable as possible in order to anticipate future changes.
Design and implement the new architecture while taking account of scalability and performance, with a 30-fold increase in data volume in the short-term (100-fold in the medium term), and cutting processing time by a factor of 30.
Support teams in getting to grips with the platform.
Development of a real-time application (Paris, New York, Hong Kong) to track market risks and the limits governing those risks
Industrialisation and go-live of the new platform.
