RiskVal Credit Enterprise (RVCE) is a structured credit risk management and trading system deployed in a number of tier-one investment banks since mid 2007. The solution for proactive risk management of complex credit derivative trading is notable for the stream of new features, made possible by the company's rapid development philosophy, which builds on direct feedback from the world's top credit derivative traders and risk managers.
During 2008, due to the ups and downs of the credit crisis, RiskVal quickly incorporated a number of specific changes to its product based on demand from clients. These include a stochastic (random, non-static) recovery model, a forward looking Jump to Default model (to smooth the default curve for risk transparency) and advanced default event management (to automate the mid-office P/L task.) An intuitive integration with Markit real-time credit data last year also supports on-the-fly calculated graphic spreads.
The modern three-tiered Service Oriented Architecture (SOA) is highly scalable and distributed for continuous 24x7 operations. RVCE runs a light weight client application on desktop PCs while centralising support operations such as STP processing and end-of-day (EOD) production management in a secure, resilient environment. Fully threaded, multi-CPU compute farm power is scaled appropriately without impacting the trading operation.
RiskVal is 100% Java based, utilizing the light and fast Jetty server, and leveraging Microsoft .NET, with built in support for advanced scripting technologies such as Python, Jython, and Mozilla Rhino. The Spring Framework makes J2EE highly manageable. Quick, easy Excel integration comes from Apache POI. Client charting is fast with JFreeChart and extremely fast XML parsing is provided with XPP3.
Finextra verdict: When market turmoil strikes, being able to quickly deliver innovative new risk features to help customers cope is an admirable trait. The right choice of component technologies and architecture, combined with significant derivative industry expertise, have enabled RiskVal to support their clients through some troubled times in the credit sector.