Quartet FS hails ActivePivot benchmark results

Source: Quartet FS

Quartet FS, specialist provider of Business Intelligence combined with Complex Event Processing (CEP) technology tools, today announced benchmark results for its market-leading software ActivePivot.

Following a project completed for a large global investment bank, ActivePivot has significantly reduced the time it takes to parse, load and aggregate VaR (Value at Risk) data to the point whereby it fits easily within a bank's end-of-day window - making intra-day VaR reporting a feasible task.

Based on the performance/memory figures from this project, centered around VaR reporting requirements and using only an 8-core Intel Nehalem server with 64 GB RAM, ActivePivot parsed, aggregated and loaded into its hypercube 8 days worth of VaR data, or 320 billion P&Ls, in less than 80 minutes, with the memory usage being only 42 GBs. This means that ActivePivot was able to load approximately 66,000 complex objects per second (a trade with all its dimensions and measures, including 1,000 simulated P&Ls) into the OLAP hypercube. As a result, each subsequent day's VaR data (32 billion P&Ls) is now loaded in less than 9 minutes - as opposed to 2 hours previously experienced.

Also, users now experience sub-second query response times and are able to ‘slice & dice' through multiple hierarchical dimensions and levels using Excel's pivot table functionality or Quartet's own "ActivePivot Live" browser-based graphical user interface - seeing VaR, and a host of other bank-defined measures, at any level necessary.

Legacy market risk solutions were designed to fulfill static reporting requirements whereas ActivePivot was built to enable risk managers to analyze, understand, and explain the market risk exposure of complex businesses. Using ActivePivot, risk managers can drill down from statistical measures such as Nth loss down to the individual VaR contribution of a single trade, compute the marginal VaR along multiple axis, or simulate the impact of large trades on overall market risk.

Xavier Bellouard, Founder and Managing Director at Quartet London says: "As investment firms get to grips with the new reporting requirements arouund VaR that are required following the financial crisis, many risk managers simply do not have the right technology in place to deliver in-depth VaR analysis in an appropriate or timely fashion. We are delighted with the results of our benchmarking exercise as it proves that ActivePivot can not only meet the new challenging reporting requirements for VaR and stress tests, but also help our clients gain valuable insights into their market risk exposure.

"Ultimately, speed and flexibility are crucial to an institution's ability to create their own views, reports and blotters and to ‘slice & dice' their risk data. With such high volumes of data, powerful memory management is crucial and we have proved our aptitude to handle this.

At the end of the day, the widespread institutional reliance on VaR is only a gamble if traders do not have the right technology solutions in place to help them analyze and explain VaR contributions in near real-time."

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