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OverviewThe Central Risk Management and Modelling (CRMM) department of Rabobank International (RI) use the Xenomorph Data Analysis & Integration System for historical data collection from Reuters and Bloomberg and validation analysis. The main instruments of interest to RI are foreign exchange, equities, bonds, options and commodities (volatilities and futures) within the American, Asia and European markets. The data is used in their proprietary Value at Risk (VaR) model and for VaR ratios, risk management and risk reporting via a link to Algorithmics software. "Xenomorph Data Analysis & Integration System is a very powerful tool which can be used for a very wide range of instruments. It can also be combined with many data vendors including in-house data sources." Anja Polfliet, Team Leader of CRMM-Report/Database Team, Rabobank International
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BackgroundRI is the corporate and investment banking arm of Rabobank Group, the leading Dutch financial institution with assets of €342.9 billion, which is the only private sector bank in the world to be triple A rated by all the major credit rating agencies. CRMM takes care of assessment of information on and control over RI's (potential) financial impact residing from market risk exposures. Furthermore, CRMM designs processes and builds infrastructure to control risk at the source and for RI to align its risk management strategies with core business. The briefCRMM takes care of monitoring RI's risk exposures, performs stress tests and scenario analyses for portfolios on an individual and consolidated basis. As a basis for this, historical data of instruments at various times in the day are collected from data vendors like Bloomberg and Reuters. Anja Polfliet and her report/database team then need to validate, analyze and use the data as a basis for risk management, reporting and VaR ratios. The solutionThe Xenomorph Data Analysis & Integration System (XDAIS) was selected to deliver the desired business process improvements due to its high performance time series database which automates market data downloads, integrates disparate data sources and provides user interfaces via Excel, VB, Com and C/C++ applications. RI benefits from the speed and flexibility of XDAIS.
"We are pleased that RI is benefiting from the use of XDAIS
and we are keen to build upon this business relationship."
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