Resources

FRTB Market Risk Management: Planning & Executing a Strategic PlanVideo

In this video blog produced in partnership with Numerix, Xenomorph CEO Brian Sentance sits down with Numerix CMO James Jockle to discuss a new Celent Report on FRTB and the Upcoming Renaissance in Market Risk Management. They discuss the data management challenges FRTB presents to the industry and how businesses can be strategic with planning and execution of sound IT strategies and solutions.

Process Management Data Analysis using TimeScape EDM+ and Microsoft Power BIVideo

This video demonstrates using Microsoft Power BI for the analysis of process management data from TimeScape EDM+. This process management data covers the data lifecycle of capture, normalisation, consolidation, cleansing and validation provided by the TimeScape EDM+ enterprise data management system.

Portfolio Analysis using TimeScape EDM+ and Microsoft Power BIVideo

This video demonstrates the analysis of a portfolio of multi-asset trades using TimeScape EDM+ with Microsoft Power BI. It covers the present value of the portfolio broken down by country, counterparty and asset type. For each asset type – in this case interest rate generic swaps – it is possible to drill down into each trade looking at the risk statistics for each of the component assets used to value the trade. It then shows the analysis of European equity options showing present value and the Greeks Delta, Gamma and Vega.

Data Quality Analysis using TimeScape EDM+ and Microsoft Power BIVideo

This video provides examples of data quality analysis using TimeScape EDM+ with Microsoft Power BI. It demonstrates analysis of three asset types – Equity, FX Rate and Treasury – looking at gaps, spikes, flats and statistical outliers.

The Data Management Implications of BCBS FRTBVideo

In this video we explore why the requirement to move from Value at Risk (VaR) to Expected Shortfall as a standard risk measure will place more emphasis on ensuring risk models are fed with high quality data.

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