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7/28/2019 Estrat%E9gia de TI Para Gest%E3o de Riscos Empresariais - Thierry Truche
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7/28/2019 Estrat%E9gia de TI Para Gest%E3o de Riscos Empresariais - Thierry Truche
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IT STRATEGY FOR ENTERPRISERISK
erry ruc eHead of Product Management, Enterprise Risk
Misys
7/28/2019 Estrat%E9gia de TI Para Gest%E3o de Riscos Empresariais - Thierry Truche
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AGGREGATION: SILOS PRESENT CHALLENGE
ut are st very va ua e
ImportManual
Capture
Feed
EnhanceStatic
Reference
Market Corrections
Bad Prices
Mis-keyed
TradeIssuer
esults Corrections
ue
3
ModelsValuation
Models
CurveModels C
orrectionsModel
Error
CurveError
RawR
Overrides
Enhancements
Val
7/28/2019 Estrat%E9gia de TI Para Gest%E3o de Riscos Empresariais - Thierry Truche
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RISK MONITORING: WHAT IS YOUR VISION? AND
YOUR RISK STRATEGY?
NASA's Shuttle Flight Control Room in Houston, TexasSource: Wikipedia4
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RISK ARCHITECTURE: YOUR VISION
Your definition of Risk Architecture in your organisation
Goal? Scope? Key indicators
Quality and truth
What RA should allow you to do Serve business purpose
Test assumptions Adapt to changing market conditions
Risk team
Risk Framework5
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ENTERPRISE RISK ARCHITECTURE DESIGN
DataMana ement
Aggregation
Valuation &Stress
Culture
DocumentStorage
Reporting
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ENTERPRISE RISK ARCHITECTURE DESIGN
DataManagement
Aggregation
Valuation &Stress
Reporting
More than integration Real time
Pervasive quality from endto end
Data cleansing
DocumentStorage
Manage exceptions Manage workflows
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ENTERPRISE RISK ARCHITECTURE DESIGN
Data
Aggregation
Valuation &Stress
Reporting
Document Storage Model Pervasive from end to end Sub-second aggregations
DocumentStorage
Scales linearly
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ENTERPRISE RISK ARCHITECTURE DESIGN
DataManagement
Aggregation
Valuation &Stress
Reporting
Aggregation isnt enough Real time
On the fly stress risk Bring together all risks inone place
DocumentStorage
engine or risk independent
pricing engine?
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VALUATION IN THE CONTEXTOF RISK
MARKET RISK
VersusCREDIT RISK
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TECHNICAL AND PERFORMANCE CHALLENGE
For 10,000 deals, computing the following measures means:
Impact on hardware and time if brut force with trading pricing engine
Scenarios Dates in the future Number of PVs to be computed
Historical VAR 250 1 2,500,000
MC VAR 10,000 1 100,000,000EPE 10,000 50 5,000,000,000
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Flow business Derivatives
Products 9,500 500
Nb of PVs 4,750,000,000 250,000,000
Speed of the pricing (in sec) 0.001 0.1
Time required for full pricing in hour 1,319 6,944
Nb of servers (with 32 cpus) required for aprocess running in 10 hours 4.1 21.7
7/28/2019 Estrat%E9gia de TI Para Gest%E3o de Riscos Empresariais - Thierry Truche
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MARKET RISK LEVERAGE THE SILOS BY DISTRIBUTING
THE COMPUTATIONS TO THE FO PRICING ENGINE
e concep : leverage the Front-Office pricing engine
Send scenarios
Aggregate PVs
Benefit
Share the same pricing models: no pricing
Risk Systems
Value at Risk
Stress testing
Backtesting
Scenarios
PVs
RatesRates
Source
Front Office
Systems /
Pricing engines
Sensitivities
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No reconciliation of transaction data
Risk factors approach
Easier IMA compliance
Easy to cope with new FO or acquisition
Easy introduction of new products (time tomarket)
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CREDIT RISKSmart Hardware: Parallelization with GPUs
To benefit from GPUs, the application code must be
aware of parallelization
The business logic code itself must internalize parallelization This means code has to be vector-oriented
Particular sweet spot: flow products and vanilla products
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Case Study CVA for FX, Money-Market and derivatives books Brut force with traditional pricing engine: 2 h on 10 servers
GPU risk engine: 10 min on one GPU card
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UNDERSTAND YOUR RISK
Big data
Aggregation
DataManage
ment
Valuation &Stress
DocumentStorage
Reporting
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REPORTING VERSUS UNDERSTANDING Big data
Market Risk (VAR)
How have your risks evolved? How to drill down when using
sophisticated and non additive measures?
Where to look at when things look wrong?
Internal model: 1000 scenarios Total of PVs computed: 100M Checking all figures = 3 years
Credit Risk
10 k deals EPE: 10000 scenarios, 50 dates in the
future
Total of PVs: 5 billions Checking all figures = 150 years
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CONCLUSION
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RISK ARCHITECTURE
Technology is there
So risk architecture is about
A clear articulated long term strategy Risk architecture for easy merging of data
Risk architecture to support future needs
Risk measures are not risk management
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