In the face of FRTB and beyond, Phi transforms cross-asset central pricing architecture to be fully fit for purpose for a global Tier 1 Bank.
Cross-Asset Pricing and Risk Architecture Review

Phi Partners is selected by a Tier 1 investment bank to develop the roadmap for a complete technical overhaul of a central pricing architecture, in readiness for FRTB.

Situation

Our client was facing challenges extending their Risk Platform beyond two asset classes and the platform was not fit-for-purpose to meet the requirements of FRTB.   A simplistic distribution model and an unstable, often overloaded architecture lead to over-running jobs and inconsistent results.

Phi’s remit

With our extensive business and technical expertise in traded risk, high-performance computing and big data, together with a highly successful delivery record within this client’s pricing and risk space, Phi were the obvious choice to advise on the pricing architecture roadmap.

Our Approach

Phi provided a team of seven experts in risk architecture, performance analysis, cloud computing and DevOps, working on-site with the client and led by a respected project manager with a proven track record of delivering state-of-the-art risk platforms.

Our Results

  • Essential technical, functional, and organisational changes identified to stabilise and support scalability of infrastructure , including
    • bi-temporal data source approach
    • defined requirements for the quant library to determine the distribution model
    • unified interface to the quant library at metric level
    • improved service monitoring
    • automated recovery
    • mechanism for error correction
    • streamlined development
    • reduction in duplication of effort
  • Conditions created for a true cross-asset FRTB-ready pricing and risk platform.
  • Roadmap outlined to vastly reduced time-to-market for delivery and reduced cost of ownership.
  • Realistic implementation, feasible within existing technology landscape and extensible to Cloud as required.

Legacy

The Phi legacy is a satisfied client, benefitting from immediate solutions to their most pressing performance issues, combined with a crystal clear view on where to focus their technology investment over the medium term.

In this new context of clarity, their pricing architecture becomes strategically fit-for-purpose: built to minimise development complexity, maximise operational efficiency and ready to support the requirements of FRTB in 2019 and beyond.

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