This post delves into the implications of the look-through approach for asset managers, building the case for the use of in-memory aggregation technology to process massive amounts of highly granular data.
In a recent video blog published on March 18, Satyam Kancharla from Numerix* highlighted some of the issues introduced by the draft proposal of the Fundamental Review of the Trading Book (FRTB) run by the Basel Committee on Banking Supervision (BCBS). Among those challenges are the transition from Value-at-Risk to Expected Shortfall, the use of varying liquidity horizons, and revisions brought to the methodologies.
The sudden decision by the SNB to remove the longstanding cap on the Swiss Franc against the Euro took markets by surprise, causing many casualties amongst the foreign exchange broker community. As stated by the Financial Times on January 19, “In one of the most damaging currency swings in the modern trading area, the Swiss Franc soared in value, leaving investment banks across the world with big losses and hitting foreign exchange brokers particularly hard”.
Tom Groenfeldt, financial technology blogger for the internationally renowned business and finance publication, Forbes, outlines the benefits of using real-time risk management in the face
Big Data analytics is being touted as the next investment area for the majority of enterprise organisations, according to a recent report by analyst house,
Many industries use different analytics solutions, but as the ongoing flow of relevant data is becoming more frequent we see that pure analytics does not
The current complex global financial markets include risks that are distributed across many entities. Credit risk in no longer limited to two parties, a bank
Nearly every move in the current business world involves some type of risk. These risks can stem from uncertainty in financial markets, project failures, legal
When discussing PnL VaR, we refer to the implication profit and loss calculations of an enterprise, mostly financial institutions, on its value at risk measures.
One of the major challenges in the management and measurement of risk that many financial institutions face is finding a coherent approach to value at
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