23 February 2018
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CDC calculates market risk with Wolters Kluwer

05 March 2015  |  2170 views  |  0 Source: Wolters Kluwer

Wolters Kluwer Financial Services announced today that it has teamed with Caisse des Dépôts et Consignations (CDC), a public financial institution specializing in funding governmental projects, to help manage its assets and liabilities and calculate market risk in its banking book.

Through the company’s OneSumX® Financial Risk solution, CDC has been able to calculate Value at Risk (VaR) at a confidence level of 99.99% in less than 24 hours using dynamic Monte Carlo simulations with up to one million scenarios. To achieve these results, CDC has deployed OneSumX in a grid architecture using hundreds of calculation nodes simultaneously. The performance levels CDC has realized goes beyond the recommendation from the French financial services regulatory body.

“Wolters Kluwer Financial Services worked closely with CDC’s IT and business teams to attain high performance using advanced simulation techniques, thereby helping CDC optimize both its regulatory and economic capital,” said Nancy Masschelein, vice president and head of Risk & Finance, EMEA, for Wolters Kluwer Financial Services.

OneSumX Financial Risk is a contract-centric solution, meaning it allows financial organizations to build up their balance sheets based on the details of contracts from which various risk metrics can be calculated, including risk factors, counterparty information and behavioral modeling. A centralized data repository combining contract data and balance sheet structures, along with counterparty and market data, complements the solution and is an integral part of the overall system.

OneSumX is based on Wolters Kluwer Financial Services’ integrated data architecture and is extensible via a full-fledged finance and international financial reporting standards module, making it a truly enterprise-wide risk solution. OneSumX enables balance sheet modeling, risk measurement, pricing and management and regulatory compliance.

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