CASE STUDY : Intra-day Risk Aggregation Engine

Business Need

A leading global financial services firm was facing issues in providing a single view of risk across all regions, business lines, customers, products and risk profiles. The challenges were around the lack of a single source of data, leading to multiple breaks, reconciliations and operational overheads. The firm needed a solution which can provide them with an aggregation of risk measures across all trading books. They also needed an intra-day view of the overall firm risk.

Solution

Wissen deployed a team of techno-functional experts with extensive Financial Services industry experience to analyze the business need and come up with an elegant solution. A Risk Data Lake was designed, which periodically receives notifications on risk measure calculations from each business unit’s risk system. Apache Spark technology was used to aggregate the calculations across the risk systems for the limits defined. A Breach Monitor component was built to check aggregations against limit thresholds and send breach alerts. The solution used messaging systems to ensure that the various components of the system are decoupled.

Benefit

Using this new system, risk managers could easily monitor risk across all business units. They could set limits and monitor breaches using GUI. They now had a single source of data, which exposed a consistent data dictionary and taxonomy for all reporting. They could build control reports at a high level, and drill down checks based on outliers.