Faster, Transparent VaR with Xenomorph
Data transparency and speed lead European bank to Xenomorph and intraday Value at Risk
Overview
A leading European investment bank cuts intraday VaR calculation time from over 12 hours to less than one hour with TimeScape, increasing calculation accuracy and reducing regulatory capital levels.
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Solution
The bank implemented historic VaR for its global equity and equity derivative operations based on Xenomorph’s data management platform, TimeScape.
The project achieved regulatory approval just three months after the project’s initiation. Due to the transparency and ease of access to instrument data, market data and calculations within TimeScape, regulatory capital requirements were also reduced as component risk calculations were investigated, better understood and improved upon. In addition, analytic add-ins allowed for enhanced tail analysis of VaR.
Key Proof Points :
- Faster time to market with new investment strategies
- Higher quality data
- Removal of risks associated with manual manipulation of data
- Flexibility to meet changing needs as fund grows
Download
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Download the complete VaR Case Study PDF. |