MARKET RISK
developing a corporate solution for the top financial institution in Spain

THE CHALLENGE

Our client, the largest financial institution in Spain, and the 11th for market capitalisation worldwide, needed a system to measure, manage and control market risk with some demanding technical and functional requirements:

  • It had to cover a broad range of financial instruments.
  • It had to provide international coverage in around 20 countries.
  • It had to offer good response times.

THE SOLUTION

AIRe is customised software developed by Indizen to meet both the functional and technical requirements that our client required.

Among others, on a daily basis it provides fundamental metrics in market risk management, VaR (Value at Risk) using both the historical and Monte Carlo simulation methods, covering financial instruments negotiated in fixed-income, variable-rate, FX and derivatives markets, handling around 300,000 overall positions corresponding to portfolios in 20 countries and offering response times of no more than one hour for consolidated results due to the use of distributed computing based on grid technology.

THE RESULT

The institution now has an overall customised solution meeting its current and future requirements for measuring, controlling and managing market risk.