DBS takes a quantum leap in market risk scenarios generation and risk monitoring by integrating two market risk technologies.
September 02, 2014 | Neeti AggarwalIncreasingly complex requirements from local and international regulatory bodies are forcing banks in Singapore to re-evaluate and enhance their risk management capabilities. DBS recently launched a project to develop its market risk assessment and monitoring proficiency. The project has significantly improved the bank’s scenario generation and risk management capability while reducing the time required for analysis and risk data reporting.
Project rationale
DBS had two main requirements. First, it needed more granularity in Value-at-Risk (VaR) measurement and faster and greater flexibility in generating market risk scenarios. Moreover, ad hoc stress testing demands from the Regulator was creating additional stress on its infrastructure.
Second, the bank felt the need to scale up its technical capabilities to improve the quality of support and generation of VaR reports.
Project objectives
DBS needed a new solution that could provide a timely, reliable, accurate and efficient reporting architecture for market risk control and risk discovery.
The bank sought to streamline and strategise an agile VaR reporting framework. It also sought to balance the need to handle new front office products with the increased market risk reporting required both internally and by the Regulator.
To achieve these objectives, the bank decided to implement an ambitious solution that encompassed a vendor-based solution, Murex Risk Aggregator (MRA) and its in-house Market Risk Scenario Generator (MRSG) solution. The initiative aimed to replace all related workflows used for Present Value (PV) aggregation and scenario generation.
Technology partner and products
DBS explored various systems on functionality-fit and vendor performance, such as product roadmaps, financial stability and support capabilities. However, it could not identify a single solution that could meet all its requirem...
Categories:
Cash, Treasury & Trade, Data & Analytics, Data Management, Operational Risk & Security, Regulation, Risk and Regulation, Risk Management, Technology & Operations, Transaction BankingKeywords:DBS, Market Risk, VaR, Murex Risk Aggregator
