IRIS: Innovative Risks Integration System IRIS Software concepts Global Market Solutions Our services

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2 IRIS: Innovative Risks Integration System IRIS Software concepts Global Market Solutions Our services Global Market Solutions specializes in providing technical and functional expertise on various areas, offering a global consulting approach to customers. IRIS offers a complete solution covering all the Counterparty Credit Risk project streams and addresses weaknesses of existing CVA implementations provided competitors software solutions. IRIS key characteristics are: GMS offers expertise on different financial software, including Summit, Murex, Orchestrade, ActivePivot and pricing integration with ZELIADE, through the use of an open.net analytics library, with outstanding calibration and pricing algorithms. Our business model focuses on providing Solutions combining Business Expertise (Counterparty Credit Risk through xva valuation, pricing validation, Back Office), Project Management and Software components. Through continuous improvement cycles, we guarantee the most suitable services, covering transverse change management, Business and IT process redesign, and bespoke software components so the whole process chain is covered. Completeness: IRIS workflow handles the global challenge of active counterparty credit risk management, from trading data acquisition to trade re-booking, including curve stripping, consistent pricing (across CORE IRIS routines or Zeliade Quant Framework (ZQF), exhaustive aggregation module, hedge requirement computation and elaborated What-if scenarios. Performance: IRIS is a native parallel distributed application permitting efficient utilization of multi-core systems. An HPC solution based on GPU and Multicore processors is also available to accelerate pricing and Greeks computation. Integration capability: The ability to plug IRIS engines in existing complex systems is a major design goal. The choice of.net development framework ensures interoperability and integration with other languages. IRIS fully supports FpML and market data providers including Reuters, Bloomberg, Markit which ensures smooth data stream integration. IRIS also offers the ability to use ZELIADE for diffusion and/or pricing routines. Transparency: IRIS internal data are fully accessible making computation details auditable. Extendibility: IRIS is modular. Each IRIS component is a pluggable framework with API interfaces so client specific logic can be efficiently integrated. Scalability: Scalability across multiple cores is ensured distributed client-server architecture - with dedicated computation workers per client - and through functional, parallel and asynchronous programming on server side. We conduct project based on proven Project Management standards and best practices (PMP standards), with high quality targets. We provide the flexibility required in the Investment Banking environment, combined with high capability to deliver complex IT Projects in a heterogeneous environment. You will find a supportive team of experts and professionals with wide area of skills and competences. Portfolio Blotter Filtering capabilities Drilldown to each single trade Expected MTM Profiles Export to Excel CVA/DVA/FVA Output Blotter Portfolio tree view Pivot table Export to Excel MTM profiles Expected exposure profiles Market Data Blotter All market data used for the pricing Subscription to Markit, Bloomberg, Reuters or internal sources Graphical view of the curves What-if scenario features Real times updates in the output blotter Subscribe or not to the what-if updates Portfolio,, Market Data and CSA what-if scenario IRIS xva Management System, ready for IM/VM and SA-CCR new regulatory changes 3

3 IRIS components IRIS components IRIS Data module: This module facilitates data acquisition through the use of dedicated API s. External data are analyzed, processed and converted into an IRIS internal format. The module uses push technology, so incoming data is processed in real-time. The unification between external systems and the IRIS referential system is specified through mapping tables. data IRIS provides an FpmL adaptor for IR, FX, Commodity and Credit vanilla instruments. The adaptor is continuously enhanced to support other asset classes and dedicated plugins (e.g. Summit format). Client side extensions for all trade types and formats are supported through a dedicated API. A filtering layer based on trade characteristics is also available. Market Data IRIS supports either ZC curves or raw market quotes. For the latter, an internal stripper is being developed. For credit, a default intensity generator from CDS spreads is available. An IRIS table allows specifying the relationship between curves -or Risks-, so basis spreads are handled. A filtering or data clean-up layer is available. Static Data IRIS covers all aspects of static data required for Counterparty Credit Risk: it includes full management of Party, ISDA & CSA Contract details (threshold, MTA, etc ) and Central Clearing Processing (with IA management). All other risk mitigators are also treated accordingly. This suite permits a global client data acquisition, allowing IRIS to build any elaborated what-if scenarios for a flexible credit-adjusted portfolio management. Market Data All market data used for diffusion and pricing are retrieved Transaction Data information are retrieved from FO Systems in order to build the portfolio View Legal Data All legal data used for aggregating ISDA & CSA are retrieved IRIS is a pure modular-based architecture, so implementation can be seen as a full suite or modules based on specific business requirements. IRIS Pricing engine: A framework for computing forward MtMs in a coherent way. Pricing Models: The pricings API allows flexible integration so clients can easily plug their models. Alternatively, IRIS Core pricers offer entry points for risk factors, calibration methods, PCA setup on intra-risk and inter-risk correlations. For speed-up process analytical solutions are provided for sensitivity calculation: Malliavin weight formula, or Automatic Differentiation can be specified. IRIS provides advanced IR/FX and commodity models, but any client-specific pricing models can be added through the pricing API.. Zeliade: through the combination of Zeliade expertise on cross-asset quantitative pricing libraries, IRIS offers the flexibility to diffuse and/or price either on IRIS CORE or Zeliade Quant Framework (ZQF). Simulation: A scenario grid is generated according to pricing model diffusion. Grid characteristics number of steps, time step- are user-defined. Pricing Method: Pricing is implemented using an American and/or a brute force Monte-Carlo method ( coupling backward induction with Monte Carlo simulations). The method is specified per instrument type and is user-defined. Pricing fully supports OIS discounting: discount indexes are derived per asset from a mapping table based on trade type, customer and trade CSA data. Interpolation using a Brownian bridge for example- between dates is specified through the API. IRIS Aggregation engine: This process is notified the Pricing Engine and aggregates new numbers into the corresponding Netting Set. Collateral is integrated through the computation of a dedicated Expected Collateral Exposure, taking all relevant CSA characteristics into account (MPOR, threshold, etc.). IRIS Input Data Viewers IRIS Complex What-if Scenarios Slicer-based reporting IRIS Risk Measures engine: A real-time or on-demand process using different indicators - CVA, DVA, PFE, FVA - and sensitivities. 4 IRIS xva Management System, ready for IM/VM and SA-CCR new regulatory changes IRIS xva Management System, ready for IM/VM and SA-CCR new regulatory changes 5

4 IRIS components IRIS data module IRIS Front-End: The main desktop is accessible to the end-user and supports SSO integration with existing corporate AD and LDAP environments. Two main tools are available: Blotters: provide real-time tools for portfolio and market data (row or diffused), risk factors and output results monitoring. Pivot-table representations are available as part of CORE functionalities, allowing user-specific domain or scope definition built upon bespoke filtering and slicing criteria. What-if: This powerful decision-making tool allows real-time simulations across different axis: New trades, Amendment, Events, CSA impacts, Market or Credit Stress; even funding stress can be simulated. Scenarios can be stored and thus re-played, cancelled or applied as actual change on the portfolio. Strategies as a combination of scenarios can be also simulated. Though, results of different simulations can be easily compared. For pre-deal check, any trade involved in a scenario can be generated / exported so corresponding new trades are easily and automatically booked in primary Front-office trading systems IRIS Front-End is easily and safely customizable through the WPF framework implementing the Model-View-View-Model pattern. IRIS: Our flexible and homogeneous Basel III compliant portfolio management framework. RIX: Banks really need a flexible aggregation framework, allowing complex customization of risk mitigation technics and/or new regulatory requirements. Typically RIX allows a multi-aggregation process from a single pricing run, implementing within days: Initial Margin / Variation Margin SA-CCR (new regulatory change coming in Jan 2017) Specific mitigation technics like Downgrade triggers, recouponing, etc. Level NPV CVA EME ECE Tree Portfolio Portfolio Party Party Counterparty ECE = ECE + EME Netting Set Netting Set Collateral Set Collateral Set 6 IRIS xva Management System, ready for IM/VM and SA-CCR new regulatory changes IMVM Counterparty IMVM IRIS xva Management System, ready for IM/VM and SA-CCR new regulatory changes 7

5 For any questions please write to: For sales questions please contact: Global Market Solutions SAS 29/31 bd Charles Moretti Station Alexandre Marseille +33 (0) Global Market Solutions R&D center 7 Cité de l Ameublement Paris +33 (0)