Asset Control, the leading provider of financial data management solutions and services, and MathWorks, leading developer of mathematical computing software, announce the integration of MathWorks’ MATLAB technical computing language within AC Plus to support more robust calculation and validation of risk factor and valuation data.
The integration brings the data and financial models into closer proximity to help address the specific requirements of risk management and new regulation, such as BCBS 239, the Fundamental Review of the Trading Book (FRTB), Stress Testing and Independent Price Verification (IPV), and support end-to-end data governance for buy-side and sell-side Risk Managers.
At present, many financial institutions benefit from the rich syntax of MATLAB financial models and the data management foundation that AC Plus provides. The integration places the master data sets in AC Plus more easily at the disposal of those writing models, and supports the process requirements from regulations that demand closer integration and coordination between data and models.
As a result of the integration, AC Plus will use the MATLAB code in two ways to support joint users:
- Compiled code run within AC Plus – typically used in a production environment
- Dynamically executed code called from AC Plus – typically used for ad hoc work or iterative model development directly on top of the data
Together, both applications of the MATLAB code reduce the amount of time taken to write models and support a more robust calculation and validation process for downstream users.
Martijn Groot, VP Product Management at Asset Control, comments: “Asset Control aims to provide an integrated, robust and controlled platform for delivering clean and consistent data to users. MATLAB’s rich syntax in financial mathematics, combined with our shared customer base, presented an opportunity for us to open up AC Plus to additional analytical languages in order to help our clients bring their data and financial models closer together. Ultimately, our aim is to make the management of risk factor and valuation data an easier process, and in turn support improved data governance.”
Steve Wilcockson, Industry Manager, Financial Services for MathWorks, comments: “Current regulations such as BCBS 239 and FRTB, in addition to the CCAR, EBA and Bank of England stress tests, place increasing importance on the financial modelling alongside the quality of the regulatory data. By integrating MATLAB with AC Plus, we welcome the opportunity to support greater robustness, transparency and confidence in this process."
By removing current manual methods, the integration between Asset Control and MATLAB automates the process of primary data collection to calling mathematical functions with calculated prices, enabling Risk Managers to bring consistency and control, quality and centralisation to their risk data.