Extending a Counterparty Limit System
"I do not know another tool with which we
would have been able to produce these results so fast."
Dr. Thomas Weber, Weber & Partner Financial Technology
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When a major European investment bank needed to specify and
prototype an important conceptual extension to their counterparty
limit system, Weber & Partner was able to deliver results
quickly using Mathematica. The effect of the new method for
the limit system was calculated on the real portfolio of the bank,
and alternative approaches were simultaneously evaluated. To
complete this project, it was necessary to analyze and understand
the data in six different trading and back-office systems,
synchronize the data of these systems, model 20 different derivative
products, and duplicate the current limit approach outside of the
existing system. Results for the new approach were calculated and
presented to the bank within four weeks.
About the project, Dr. Thomas Weber said:
"What the bank wanted from us was a very detailed business concept and
a complete specification of the necessary interfaces to implement the
new approach. The systems we had to deal with were mostly new to us.
Whoever works in this industry knows that documentation on such
systems is hardly available in this volatile environment. Data quality
is mostly poor when you are working on a new report, but you do not
necessarily know where the data problems hide. What complicated
matters in this project even further was the situation that we were
able to work only on data that changed every day. So we had to apply a
fully programmable approach to do our
analysis. Using Mathematica, we were able to scan and
synchronize the large amount of data in the different systems and put
the analytics on top of that. What really helped to identify data
problems was the ability to do calculations with the data and to use
the graphical power of Mathematica to quickly see data
problems. Being able to achieve and document our results
in Mathematica simplified the task to a great degree. The
ability to write the calculation very compactly in a mathematical
notation within Mathematica allowed it to easily exchange the
retrieved results between the two persons who worked on this
project. I do not know another tool with which we would have been able
to produce these results so fast."
Contact Information
For aditional information, you can contact Weber & Partner directly.
Address
Weber
& Partner
Financial Technology
Odinspfad 2
D-69126 Heidelberg
Germany
web: http://www.weber-und-partner.com
email: thomas@weber-und-partner.com
phone: +49-(0)6221-332338
fax: +49-(0)6221-332364
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