Building Market risk solution from Core Banking System (T24) and SQL Server.
For a Middle Eastern Bank
CLIENT & PROBLEM STATEMENT
- A Middle Eastern Asian bank needed market risk calculations on diverse portfolio elements.
- Requirement for specialised tools to calculate interest rate, FX, and derivative risks.
- Main problem statement was to manage the data coming from Oracle and SQL
APPROACH
- Extracted portfolio data from client’s Oracle DB and T24’s SQL Server.
- Developed customised ETL process to transform and optimise data for risk calculations.
- On-premise batch processing with customised ETL for efficient data handling.
- Implemented Riskrator for interest rate and FX risk computations on transformed data.
- Utilised Derivator tool for complex derivative valuations, enhancing risk assessment accuracy.
SOLUTION & OUTPUT
- Data transfer process is now full automated
- Riskrator and Derivator provided comprehensive market risk insights on the bank’s portfolio.
