Customer Profile
Lab49’s client is one of the largest global investment banks in the world.
Business Situation
Our client’s Fixed Income division is comprised of many different desks (including bond trading, forex, IRD, and so on). Each division within the bank has its own P&L, however the execution of many types of trades exposes the company to risks outside the division performing the trade.
Prior to Lab49’s involvement, cross-divisional risk information was distributed only once per day, and this represented a significant constraint on the bank’s ability to hedge across divisions.
In order to support more-aggressive trading activity while keeping risk to a minimum, the bank needed a way to increase the availability of timely risk information across desks and divisions. The assessment of the head of Fixed Income at the beginning of 2003 was that the company would be stymied by its inability to assess risk.
Solution Description
In less than two months, Lab49 created a prototype system that enabled cross-division collection, aggregation and distribution of risk information. The solution also maintains historical risk data, and supports sophisticated analysis of risk change over time.
At the core of the system is Microsoft Analysis Services, an OLAP engine running on the Microsoft SQL Server database. One OLAP cube contains risk information for all divisions of the bank, and Excel’s Pivot Table is used as the front end, supporting the viewing and modification of risk data.
A host of technologies and programming languages were leveraged in order to achieve seamless integration with the bank’s many existing information systems. Lab49’s deep expertise with the breadth of industry platforms made this complex integration not only feasible, but successful.
Benefits
- Realtime risk information available across company, updated every 5 seconds
- Transformative improvement in client’s ability to assess and analyze risk associated
with current positions across desks and divisions - Dramatically increased profit opportunities
