Case study aligned risk technology banking luxoft for a top ten global investment bank


Published on

luxoft software development

Published in: Business, Technology
  • Be the first to comment

  • Be the first to like this

No Downloads
Total views
On SlideShare
From Embeds
Number of Embeds
Embeds 0
No embeds

No notes for slide

Case study aligned risk technology banking luxoft for a top ten global investment bank

  1. 1. For more information about Luxoft, studyAligned Risk TechnologyReporting SystemSummary13.09.2012Develop an integrated platform for credit risk calculations that complywith regulatory reporting requirements.uu Client: A top ten global investment bankuu Business Area: Global credit riskuu Asset Classes: Equities, fixed income, derivativesuu Technology Set: Oracle, SAS, Data Warehousing (DWH), ETL,Microstrategy, J2EE, EJB, Struts, GWT, Spring, Hibernateuu Integration: 20+ data providers in the bank(credits, ratings, counterparties etc.)uu User Profile: Global Credit Risk Department, 100+ usersuu Geography: Globaluu Relationships Status: Ongoing ODC, T&Muu Services Provided: Full cycle: development, testing, maintenance,quarterly releases, and production supportuu Team Size: 17+uu Duration: 2+ years
  2. 2. Business ChallengeLuxoft Delivered SolutionOver the past few years, the bank’s credit-related data warehouse (DWH)had begun to deteriorate in both performance and capacity as data volumeincreased and numerous regulatory enhancements were applied. Theexisting software development vendor was unable to meet the businessand technical needs for the system, which performed the business-criticalfunctions of credit risk calculation and disclosure reporting to comply withKWG (Kreditwesengesetz, Banking Act of the Federal Republic of Germany)and Basel II requirements. The bank’s main objectives to upgrade the creditdata warehouse were:uu Reduce costs by streamlining calculation and reporting functions,removing redundant and segregated processes, and optimizing theworkflow.uu Implement all revisions needed for regulatory compliance with riskdisclosure reporting.uu Improve performance and accuracy by integrating functional processesand reducing the processing time.uu Improve regulatory compliance by increasing transparency andtimeliness in reporting.uu Restore system availability and reliability.Luxoft was selected to replace the bank’s software development vendor,taking over all the aspects of the project including development,maintenance, and on-call support. To address the critical requirements ofcost reduction, performance, accuracy, and timeliness; the Luxoft teamdeveloped a framework for multiple instances of a single code base. Themain components of the system include:uu Oracle® databaseThe data warehouse holds detailed information from operationalsystems on the status of contracts and products; the results of MonteCarlo simulation for the probability of default for each contract; andcontractor information such as ratings from internal and internationalagencies. The data warehouse is organized relationally by contract orproduct and supports daily traffic of about 130 gigabytes with a totalstorage capacity of more than 15 terabytes.02Luxoft - Case Study
  3. 3. uu Base SAS® for risk calculation and reportingThe Risk Calculator analyzes products, countries, counterparties, nettingof contracts, and the distribution of provision between contracts toassess risk. Because regulatory requirements can vary, all calculationprocesses operate under a set of customizable business rules and riskindices are computed separately for each Basel II approach: Standard,Foundation and Advanced. The aggregated results and calculated riskindicators (including economic capital and its distribution betweencontracts) are star-ranked and stored to support reporting.uu J2EE enterprise platform for data maintenance web applicationsWeb-based applications provide functionality to correct invalid data orto adjust reporting input data. Because the data is relationally organizedby contract or product, corrections are quickly applied without having torecalculate the total volume of data.uu MicroStrategy® business intelligence report generation and deliveryservices.Figure 1:Risk Report-ing StrategicApproach—OneCode Base, Mul-tiple Instances03Luxoft - Case StudyFINANCIAL DATACONSOLIDATIONLAYERNON GCDSDAILY STATICDATADAILY FEEDSFTPMONTHLYBACKFILLDAILY REPORTSKWG 13, RWAWEEKLY REPORTSFLASH RWA, EPEMONTHLY REPORTSKWG 13, KWG 14, RWAREPORTINGCALCULATEMONTHLYWEEKLYDAILYCOLLECT REPORT
  4. 4. Customer FeedbackDetailed feedback is available on request.04Luxoft - Case StudyBenefitsThe Luxoft team developed a communication plan with the bank’sGlobal Credit Risk Reporting department that allowed them to acquirethe knowledge base they needed to quickly restore system stability andimprove performance. In addition, system enhancements increasedsignificantly over the previous year. Luxoft’s solutions provided the bankwith the following benefits:uu Risk calculation performance increased by 33%uu The time needed to generate regulatory reports was reduced from hoursto secondsuu Operational and future development costs were greatly reduced withthe improved system frameworkuu Full compliance with KWG and Basel II regulations as a result of systemenhancements and innovations developed by Luxoft
  5. 5. About luxoftLuxoft, a principal subsidiary of IBS Group, is a provider of advancedapplication and software engineering outsourcing services for global andregional enterprises. Luxoft builds partnerships with its clients, such asBoeing, IBM, Deutsche Bank, UBS, Harman, Avaya, Alstom, and Sabre, basedon the culture of engineering excellence, innovation, and deep domainexpertise. Luxoft offers international delivery capability through its networkof state-of-the-art delivery centers in North America, Eastern Europe, andAsia. Luxoft`s customers benefit from the right mix of technology skills,industry knowledge, proprietary processes and methodologies, and achoice of engagement models.For more information about Luxoft,© 2012 Luxoft