Excelian delivers an Agile real-time Monte Carlo risk platform for a leading clearing house

Excelian was recently engaged by a leading international clearing house that clears a broad range of asset classes, including securities, exchange-traded derivatives, commodities, energy, freight, foreign exchange derivatives, interest rate swaps, credit default swaps and fixed income.

The clearing house wanted to develop a new system for calculating real-time VaR (Value-at-Risk) and the different margin requirements for their members to address current market changes attributable, in part, to Dodd Frank and EMIR regulations.

Excelian was selected for the initial architecture phase to determine the technologies and infrastructure to be used for the new system. A key requirement for this project was the ability to deal with real-time risk calculations and offer scalability for an increasing number of trades.  This was vital in order to support regulatory requirements to pre-novate trades within a 60s roundtrip (from trade reception, thought portfolio risk exposures calculation and collateral reservation).

The solution identified the requirement for a compute grid middleware as well as the ability to leverage the client’s selected in-memory data grid solution.

The client then engaged Excelian’s flexible Development Services and, using Agile methodologies, we started building the initial framework, the core components of the platform and ran technology focused sprints.

“Excelian’s ability to quickly ramp-up a team of Agile-enabled consultants has been instrumental in the success of the project and they have clearly positioned themselves as our technology partner. Excelian has been an advocate of Agile in the Finance industry and there was a very good cultural fit with our own agile delivery approach to develop this risk internal platform\" commented the Head of Risk IT.

The project was implemented using three weeks sprints, with one analysis week between the sprints. Monthly meetings were held between Excelian and the client in order to measure stakeholder satisfaction and to adjust the setup of the team according to requirements. This flexibility in the resourcing of the team offered the client the ability to keep costs under control while delivering visible business value at the end of each sprint.

From a technology perspective, Excelian’s high performance computing expertise has been leveraged in order to make the most of innovative technologies in the compute, data grid and cloud space to meet strict SLA requirements whilst keeping the infrastructure costs as low as possible.

“Excelian has demonstrated deep technology knowledge in the risk and pricing space, positioning the right technologies for the project in order to allow us to deliver a world-class platform” said the Head of Risk IT.

“Projects that require the use of high end technology within the Capital Markets space are a perfect fit for Excelian”, states Andre Nedelcoux, Partner at Excelian. “Owning the delivery of the whole project from start to end demonstrates Excelian’s ability to deliver a solution that meets the complex requirements that the industry faces”.

The core solution was delivered by an Excelian team that was flexed from 5 to 12 consultants in 9 months; the team is currently working on further evolutions on the platform in order to further support the business.