Risk metrics reporting is typically undertaken on an ad hoc basis throughout the day, or more typically at the end of the day. The reporting is very intensive in terms of the system and process, and existing platforms struggle to enable quick, ad-hoc and intra-day aggregation of risk data.
To address these challenges, GFT has developed and implemented a risk metric aggregation capability to support business problems, including market and credit risk, compliance, collateral, operations risk, metrics and P&L analysis.
In both the commercial and open source markets, there is a lack of sophisticated, component-based aggregation engines capable of calculating the required complex risk metrics from the large data output generated by front and middle office valuation grid platforms. In addition, risk aggregation is typically built on cube technology that often struggles to scale. It also requires the pre-build of a dimension model prior to possible queries.