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Unicredit deploys MathWorks to model global volatility

30 March 2010  |  2593 views  |  0 Source: MathWorks

MathWorks today announced that UniCredit Bank Austria created a market data calculation engine using MATLAB to rapidly adjust its internal financial models and respond to volatile global markets. The MATLAB based engine lets UniCredit Bank Austria develop and deploy models and algorithms in less than half the time previously required.

“Using MathWorks products, we can now develop and deploy models in response to new market conditions in days or weeks, instead of months.”

Using MATLAB, MATLAB Compiler, and MATLAB Builder JA for Java language, UniCredit Bank Austria developed the market data calculation engine and then integrated it into the bank’s Unified Market Data (UMD) data warehouse. The engine is capable of managing and analyzing the massive amounts of financial data that UniCredit Bank Austria receives daily, and as a result, eliminates the need to store multiple versions of the same data and calculate it using disparate systems. With this system, UniCredit Bank Austria can now manage real-time tick data and accurately compute near-time and end-of-day derived market data required for risk and performance management.

“We needed enterprise-wide data management to ensure consistent results and sound consolidated financial statements group-wide,” said Peter Schweighofer, senior market risk manager at UniCredit Bank Austria. “Using MathWorks products, we can now develop and deploy models in response to new market conditions in days or weeks, instead of months.”

“Without an efficient and scalable process for validating, analyzing, and deploying consistent market data, financial institutions struggle to maintain confidence in their risk management processes,” said Steve Wilcockson, financial services industry marketing manager at MathWorks. “By implementing MATLAB within its enterprise data environment, UniCredit Bank Austria has not only significantly reduced its model development time and operational and maintenance costs, but also demonstrated assurance to its regulators and executive board.”

UniCredit Bank Austria is also using Optimization Toolbox to calibrate its market data models, reducing errors between results predicted by the models and initial market predictions. Additional MathWorks tools are being utilized to accurately calculate bond yields, forward rates, and short-term interest rates before the algorithms are deployed within the bank’s infrastructure.

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