Big Data: Scaling up of an FRTB regulation platform

Big Data: Scaling up of an FRTB regulation platform

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.

BACKGROUND

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.

 

OBJECTIVES

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.

 

DELIVERABLE(S)

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.

  • Features implemented: provision of sensitivities (delta, gamma, etc.), counterparty risks (netting effect and collateral), risk alerting, regulatory reporting indicators
  • Introduction of a “parallel run”; daily comparison with the output of the existing system based on Oracle Exadata

Read more about the project

Sebastien Normand
Sébastien
Normand
Directeur BL technology
Nebil Briki
Nebil
Briki
Directeur novencia Tunis
Guillaume Latimier
Guillaume
LATIMIER
Directeur BL Product

Related articles

Great Place To Work numéro 1 Novencia

Do you want to work in this field?

Technology & Product
Développeur C# (F/H)
Technology & Product
UX Designer / Designer de service (F/H)
Technology & Product
Développeur Back-end Confirmé Java (F/H)
Technology & Product
Développeur Java Junior (F/H)
Technology & Product
Software craftsman (F/H)
Technology & Product
Développeur Big Data (F/H)
Technology & Product
DevOps