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Risk Platform

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An award-winning software solution for market and credit risk, regulatory capital, limits and initial margin
About CompatibL
CompatibL Technologies was founded in 2003 to offer risk technology solutions to banks and asset
managers. Since then CompatibL has established itself as the leading provider of quantitative software
and solutions for derivatives analytics, limits, and regulatory capital.
CompatibL has over 200 experienced developers and financial engineers and boasts a client base
of over 50 banks, central banks, supranationals and asset managers in the US, EMEA and Asia, including
4 out of 5 largest derivatives dealers. Over 140 major projects have been implemented across this client
base. CompatibL is headquartered in London (UK) with the main delivery centres located in Warsaw
(Poland) and Princeton (United States).
www.compatibl.com
info@compatibl.com
New York
London
CompatibL Technologies LLC
100 Overlook Center
Second Floor
Princeton, NJ 08540, USA
CompatibL Technologies Ltd
First Floor
100 Pall Mall
London, SW1Y 5NQ, UK
+1 (609) 919 0939
+44 (20) 3743 8800
Singapore
Warsaw
CompatibL Pte. Ltd.
30 Cecil Street
19-08 Prudential Tower
Singapore, 049712, Singapore
CompatibL Sp. z o.o.
Prosta 32
Second Floor
Warsaw, 00-838, Poland
+65 6813 2067
+48 (22) 110 8005
CompatibL
Risk Platform
An award-winning software solution for market and credit
risk, regulatory capital, limits and initial margin
CompatibL
Risk Platform
Powering strategy,
asset and risk management
An award-winning software solution for market and credit risk, regulatory capital,
limits and initial margin. CompatibL’s risk management technology was recognized
by a pair of back-to-back Risk Vendor of the Year Awards in two enterprise risk
management categories in 2017 and 2018.
ComptibL designs and implements front-office, mid-office and back-office
software for strategy, asset and risk management, utilizing the best market practices,
quantitative algorithms and technical architecture.
Alexander Sokol
Quant of the year
15+
200+
years experience
in software development for
financial institutions.
in-house experts, including quants,
software engineers, solution architects,
UI/UX designers and analysts
in 4 branch offices.
Regulatory
frameworks
supported
Basel III
FRTB
ISDA SIMM
IRRBB
SA-CCR
Risk
• Historical and parametric VaR
• Market Risk measures: instantaneous shocks, parallel/non-parallel shocks and twists,
relative and absolute, bucketed/term structure scenarios, duration, convexity
• First/second-order Greeks and cross gammas: delta, gamma, vega, skew, epsilon
• PFE and quantile measures
• xVA (CVA, DVA, FVA, KVA, COLLVA, MVA)
140
85
delivered enterprise software
projects and hundreds of quantitative
consultancy and model validation
engagements.
clients worldwide, including 4
of the 5 largest dealers, 33 central
banks and some of the world’s largest
asset managers.
2
/
CompatibL Risk Platform
• What-if analysis
• Profit attribution (PnL explain and deltas reports)
CompatibL Risk Platform
/
3
Components and Tools
Highlights
CompatibL Cloud Platform provides front-end, back-end and operation
components that are designed for flexibility and can be easily customized
according to the needs of the client.
CompatibL provides Amazon
Web Services, Microsoft Azure,
and Kubernetes deployments with full
support of stateless functions such
as AWS Lambda or Azure Functions,
with Docker containers, and enterprise
level in‑memory caching and document-based database solutions.
Front-end
Back-end
Quantitative features
Collateral modeling
• Flexible and customized HTML5
user interface
• High-performance HTML5 pivot control
with virtualized rows and columns
• Business intelligence module
• Data grid/tables with the ability to aggregate
and apply vector functions on the fly
• Rich UI component and graphical
control library
• Excel add-in
• Cloud-based solution for AWS, Azure
and other cloud platforms
• Batch services for Kubernetes
• Distributed cache for parallel calculations
based on Redis or MongoDB
• Algorithmic trading components
• SQL and NoSQL databases and data stores
(Mongo, Redis, MS SQL Server, Oracle, etc.)
• Formula engine
• Messaging adapters for standard protocols
including RabbitMQ, JMS, TIBCO
• Bloomberg and Reuters market data adapters
• Workflow manager
• Dynamic model calibration – a flexible
framework to tune calibration of IR/FX/
Commodity/Inflation/Equity/Credit models
based on trade attributes
• CSA modeling – advanced features
to model the change of collateral through
time, including dynamic initial margin
Tools
• Real-world (capital/limits) and risk-neutral
modeling combined with the choice
of full repricing or AMC valuation
• Governance reporting to verify calculation
input including trade data, market data,
front-office MtM reconciliation and risk
contributors
•
•
•
•
Log analyzer
Application deployment and monitoring services
Automated testing tools
Code generation tools
• Import trade, market and reference data
from multiple trading and risk systems
• Flexible framework to use an external model
for market simulation
• Fast American Monte Carlo for complex
derivatives
• Stress testing and drill-down based on business
unit, instrument type, desk, position, maturity
bucket or custom factors
• Consistent model calibration for both market
scenarios and deal prices
• Advanced modeling of dynamic hedging
and collateral rules
/
• Quantification of trade and margin flow
settlement risk as part of the overall
counterparty credit risk
Advanced features
• Excel add-in
• Server-side Excel spreadsheet processor
• Export in different formats
(Excel, PDF, XML, CSV and others)
• Code editor with syntax suggestions
(IntelliSense)
4
• Classical or advanced (Andersen–Pykhtin–Sokol)
model for the margin period of risk
CompatibL Risk Platform
• Nightly batch processing and specific design
of cluster deployment
• Customizable reports for end-user reporting
CompatibL Risk Platform
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CompatibL Risk Cloud
Platform Architecture
The platform can be deployed in your data center or private cloud and in most public clouds,
including AWS and Azure. When deployed in the cloud, it leverages the latest serverless
cloud technologies, including AWS Fargate, Lambda, Step Functions and Azure Functions.
Our platform also supports both Windows and Linux traditional data centers and can run
on top of all leading cluster management software solutions.
CompatibL Platform is based on microservices.
Microservices communicate by HTTP protocol with REST semantics. They can be hosted
in Docker and deployed on any cloud/cluster infrastructure supporting Docker or similar
container technologies or self-hosted on a dedicated server.
CompatibL Platform includes support for traditional and serverless parallel computing,
a powerful HTML5 front-end with advanced BI, the ability to integrate your analytics written
in C++, C#, Java or Python, and a back-end-agnostic database adapter that supports
most traditional and cloud databases.
Inputs
Microservices
Trade Data Service
Trade Data
Why Cloud?
Start on your project
on the cloud
Speed-up banking
innovation
Extend your cloud
footprint
Adopt new approaches that
power business innovation
and drive agility and growth for
banks and financial institutions.
Create and build large-scale
projects with CompatibL Risk
Cloud while meeting complex
industry requirements.
Bypass legacy system
limitations with cloud cost
advantages and flexibility.
Market Data
Feed
using grid or cloud computing with the ability
to run user-defined calculations on the cluster.
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/
Market Data Service
User Interface
Market Quote Service
Calculation Service
Internal Rating Service
Data Import
Data Upload
Credit Data Service
User
Authentification
API Gateway/
Load Balancer
In-memory
Cache
Users
Benefits
Real-time risk
analytics
Credit /
Reference Data
A BI solution
that provides the ability
to create interactive reports quickly and easily,
drawing from multiple
data sources.
CompatibL Risk Platform
Full storage
and customization
Use of CompatibL’s
valuation
of reporting capabilities
based on HTML5
front-end technology.
and risk models, or easy
integration of your
own quant library with
user-friendly APIs in C++,
C#, Java, and Python.
HTML5
CompatibL
Rich Client
Document
Storage
Stateless Functions
Calculate
Initialize Scenario
Build Curves
Evaluate Scenario
Initialize Scenario
Evaluation
Clear
Excel
Custom
Applications
CompatibL Risk Platform
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Integration Solutions
BI & Reporting Services
CompatibL specializes in the most challenging integration projects involving complex
trade and market data and advanced quant models.
CompatibL Platform imports market data, trades and reference data from an external
database, CSV files or web services. Easily map your own trade format or use one
of the standard formats accepted by the software. The system runs market simulations
and generates market scenarios. From there, trade PFE can be simulated with either
American Monte Carlo or a full repricing technique. After that, the system calculates
metrics and outputs the results for further analysis.
Optimized data cache
with query API
Multiple data source types
(databases, flat files,
web services)
Report templates
several visualization
controls
Import
Market data
Etc.
Netting data
Legal data
Credit data
CompatibL
Convert
to CompatibL
format
Configuration Settings
Market
simulation
model
100
PFE
calculation
100
90
80
Results
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CompatibL Risk Platform
Metric
calculation
70
Downstream
reporting
Aggregation
categories can be
defined dynamically
60
Interactive drill-down control
makes it possible to define
the sequence of attributes
for the drill down
CompatibL Risk Platform
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CompatibL Excel Add-in
Perform risk calculations directly
from Excel
No need to import all the data to CompatibL
Risk manually
Smooth communication – changes in Excel
are automatically transferred to CompatibL Risk
and the other way around
Work with financial data in Excel without
using the CompatibL application
Expressive CompatibL pricing functions exposed as Excel
formulas allow vanilla and exotic trades to be modeled
in an intuitive and transparent way. They allow a user to define
the trade from first principles by using CompatibL functions
directly on an Excel spreadsheet.
For exotics, CompatibL allows a user to define trade
payouts or custom rates in Python. This removes
the necessity for a user to learn vendor-specific
scripts or ad-hoc languages. CompatibL also
provides debugging capabilities for Python, which allows
the user to step through all the lines of code in Excel
and see intermediate values and call stack.
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CompatibL Risk Platform
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Автор
CompatibL
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